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st: Interaction terms in dynamic models


From   Hewan Belay <hewan_belay@yahoo.com>
To   Stata List <statalist@hsphsun2.harvard.edu>
Subject   st: Interaction terms in dynamic models
Date   Tue, 10 May 2011 09:07:10 -0700 (PDT)

Dear statalist,

I am wondering about the following: I am able to include interaction terms with no problem in a range of estimation models, but not in dynamic ones. Is there a reason why this is not working, or do I need to do something differently? Here are some toy examples of what I mean: 

All of the following regression commands run just fine:

webuse abdata
regress wage c.emp#c.cap
xtreg wage c.emp#c.cap
xtreg wage c.emp#c.cap, fe
xtgls wage c.emp#c.cap
xttobit wage c.emp#c.cap

But the following don't run:
xtabond wage c.emp#c.cap
xtdpd L(0/1).wage c.emp#c.cap, dgmmiv(wage) div(c.emp#c.cap)

In the above two, I get the error message "cemp#c:  operator invalid". For some reason xtabond and xtdpd don't seem to recognise the interaction specification c.varname1#c.varname2.

Thanks in advance on any thoughts on what may be going on here, and how to deal with the problem.

Hewan
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