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st: Treatreg regression with endogenous interaction term


From   "Dr.Maria-Teresa Marchica" <maria.marchica@mbs.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Treatreg regression with endogenous interaction term
Date   Mon, 15 Apr 2013 17:49:07 +0100

Dear Statalist

I would like to estimate the following:
Y = b0+ b1*X1 +b2* X2 + b3*X1*X2

where

X1 is a dummy variable and endogenous (which I instrument with Z),
X2 is exogenous.
Without interaction, I have to use the 2 step Heckman model to estimate the above regression (I use treatreg). I searched in the Statalist archive and found some posts that seem to be related to this issue. However, the proposed solutions seem to be applicable to an ivreg-type of estimations (that is, instrument X1 with Z and instrument X1*X2 with Z*X2), not treatreg.

I would be very grateful if you could help me on this one.

Have a nice day
Maria

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