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st: Endogenous interaction terms in 2SLS


From   Rene Algesheimer <rene.algesheimer@business.uzh.ch>
To   statalist@hsphsun2.harvard.edu
Subject   st: Endogenous interaction terms in 2SLS
Date   Thu, 3 Mar 2011 10:52:06 +0100

Dear Statalisters,

I have a very specific Stata question that I wasn't able to solve with the Statalist. I would therefore highly appreciate to hear your advice on this.

I would like to estimate the following model: 

Y2 = b0+ b1*Y1 +b2* Y1*X1 + b3*Y1*X1*X2

Y1 is a dummy variable and endogenous,

X1 is another dummy variable and the instrument for Y1.

The situation therefore is similar to http://www.stata.com/statalist/archive/2008-10/msg01239.html with endogenous interaction terms. However, in my case one interaction is between the instrumented and the instrumental variable.

Any advice how to deal with this situation is highly appreciated.


Many, many thanks in advance.

best wishes,

René
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