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st: 'Rolling' Slope Dummy

From   Robert Gaskell <[email protected]>
To   [email protected]
Subject   st: 'Rolling' Slope Dummy
Date   Fri, 4 Mar 2005 17:20:42 +0000


I am looking at the relationship between two variables, and am trying
to determine the effect that a third variable has on the coefficient
of this relationship.  Is it possible to use a sort of 'rolling' dummy
(this is I am sure a completely inaccurate name), whereby instead of
having a standard dummy:

gen dummy = [some expression]
gen var2dummy = var2*dummy
reg var1 var2 var2dummy

...which only has a true/false which isn't suitable here, I multiply
var2 and var3 to create some sort of pseudo-rolling-slope-dummy:

gen var2var3 = var2*var3
reg var1 var2 var2var3

Here, I would take the interpritation to be that for every unit
increase in var3, the coefficient on var2 increases by the coefficient
on var2var3.

Is this something that can reasonably be done, or is it complete
nonsense?  If this cannot be done, is there an alternate solution to
find the effect of var3 on the coefficient on var2?

Many thanks
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