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st: on interactions of endogenous variables with an exogenous one and xtivreg2


From   "rado645-bg@yahoo.de" <rado645-bg@yahoo.de>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: on interactions of endogenous variables with an exogenous one and xtivreg2
Date   Tue, 3 Jul 2012 22:09:40 +0100 (BST)

Dear all,

I have an issue with a regression that includes endogenous variable (x) and its interaction with an exogenous one (m). y is the dependent variable and z is the instrument.

In this case, it was recommended to me to run two first stage regressions: 

1) x on z m and the set of control variables
[where I have to store fitted values (e.g. in a variable store1 ) ]

2) x*m on z*m and the set of control variables  (without including m in this regression)

[where I have to store fitted values (e.g. in a variable store2 )]

Next I have to move to the second stage: 

3) y on store1 store2 m and the set of control variables

I would like to ask you whether conceptually this model is a correct one in this case. For example m does not enter in regression 1. Intuitively I would prefer to run the following regression where F denotes the set of control variables: 

xtivreg2 y (x x*m = z z*m) m F

However m enters in both first stage regressions in this case. 

My second question refers to its estimation with xtivreg2. From reading previous posts, I have also found that I cannot store predicted values from the first stage with xtivreg2. Is there a possibility to overcome this limitation by using another command to predict and store the RHSs from step 1 and 2 so I can estimate this model? (I use  fixed effects and I have to cluster by the panel id)

Best,
Rado


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