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st: question on IV regression


From   Yunxian Lu <yunxian.lu@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: question on IV regression
Date   Fri, 15 Apr 2011 23:49:04 -0400

Dear Experts,

I have a question on IV estimation with interaction terms.

There was some earlier postings, but my question is a little bit
different and I am still confusing. I want to estimate the following
equation:

Y=b0+b1*X1+b2*X2+b3*X3+b4*X2*X3+u

X1 and X3 are exogenous variables,
X2 is an endogenous variable(continous), which is instrumented with Z1 and Z2.
X2*X3 is an interaction term.

How can we deal with X2 and the interaction term X2*X3?

Thanks a lot! I really appreciate your help!

Best,
Yunxian
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