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st: RE: interaction regression with panel data


From   Mauro Mastrogiacomo <M.Mastrogiacomo@cpb.nl>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: interaction regression with panel data
Date   Mon, 25 Jul 2011 14:54:16 +0200

If you have any usual suspect I would first estimate some first stage regressions. If theory suggests that your variable is endogenous you should not ignore it.
mauro

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Reddy, Colin
> Sent: maandag 25 juli 2011 14:43
> To: statalist@hsphsun2.harvard.edu
> Subject: st: interaction regression with panel data
> 
> Dear Listers
> I have panel data on which I am perform a regression including some
> interactions between the independent variables. My fixed effects
> specifaction takes up quite a lot of the variance in my dependent
> variable as a result my R squares is over 80%.
> 
> I think one of my independents is endogenous but have no clue on what
> the vaild instrument variable could be. Is there a way that I can
> conduct this regression without the use of an instrument variable?
> 
> Colin
> 
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