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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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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