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From |
Andrea Drechsler <andreamm@wharton.upenn.edu> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
Re: st: Interactions and factor variables with ivregress |

Date |
Wed, 26 Sep 2012 13:53:36 -0400 |

Statalisters, I've run into the same problem as below, only I'm using -ivreg2-. Specifically, I'm looking for a way to do something like the -margins- command after -ivreg2-. It seems that -ivreg2- doesn't yet support factor variables. Is there another way to get the results like those from -margins- after using -ivreg2- with an endogenous interaction? Many thanks, Andrea On Thu, Sep 20, 2012 at 07:38 AM, Bert Lloyd <bert.lloyd.89@gmail.com> wrote: > 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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