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st: endogenous interaction term

From   Gordon Gordon <[email protected]>
To   [email protected]
Subject   st: endogenous interaction term
Date   Mon, 20 Oct 2008 10:06:08 -0700 (PDT)

Hi there,

I would like to estimate the following equation:

Y = b0+ b1*X1 +b2* X2 + b3*X1*X2

X1 is a dummy variable and endogenous, X2 is exogenous and normalized. 

If there are no interaction term, I can apply either IV or Heckman two stage to correct the endogeneity of X1. 

However with the interaction term of X1*X2, I do not know how to deal with it. 

Any advice is much appreciated!


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