This is a FAQ,
e.g.
http://www.stata.com/statalist/archive/2007-05/msg01032.html
http://www.stata.com/statalist/archive/2005-05/msg00158.html
http://www.stata.com/statalist/archive/2004-08/msg00780.html
etc.
(you need more excluded instruments and interactions of excluded
instruments with exogenous covariates are good candidates).
On Fri, Jul 8, 2011 at 3:25 PM, Lina C <linacs81@gmail.com> wrote:
> Hello everybody,
> I'm using instrumental variables to estimate the effect of an
> endogenous variable (X) on an outcome (Y). Now I want the effect of
> the endogenous with a covariate to differentiate the effect, let's say
> W. The thing is that I have the feeling I need the instrument Z to be
> also interacted with W but I'm not sure how to conduct this using
> ivregress since now the endogenous is interacted with a covariate.
> Thanks for any help,
>
> Lina.
>
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