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st: Interactions and factor variables with ivregress


From   Bert Lloyd <bert.lloyd.89@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: Interactions and factor variables with ivregress
Date   Thu, 20 Sep 2012 07:38:53 -0400

Dear Statalist,

I am estimating a model with
Outcome y
Treatment T
Continuous covariate X
Continuous instrument Z

and believe the effect of T on y varies with X. I could like to
estimate an IV model interacting T with X and use -margins, dydx()
at([interesting values of X])- to obtain estimated treatment effects
for different values of X.

If T were exogenous, I would run

reg y i.T##c.X
margins, dydx(T) at(X=(0.5(0.5)9.5))

and this works fine with simulated data: -margins- returns estimated
treatment effects that vary sensibly with X.

However, when I run what I think is the parallel IV regression

ivregress 2sls y (i.T##c.X=c.Z##c.X)

I get

depvars may not be factor variables
r(198);

and -trace- tells me that the problem is occuring in
ivregress.Estimate at the line

_iv_parse  y (i.T##c.X=c.Z##c.X)

Can anyone suggest a way to estimate this model so that the results
can be easily processed with -margins, dydx()-? If not, I suppose I
could do the interactions by hand, although I find this often leads to
my messing up the calculations of the marginal effects.

Many thanks in advance,

BL
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