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st: xtabond2 with interaction terms
From
"Carrion-Menendez, Alejandro" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: xtabond2 with interaction terms
Date
Tue, 5 Apr 2011 10:20:15 -0400
I have a model with continuous interaction terms. I'm having trouble setting up the specification for xtabond2 and I haven't found anything in the literature that refers to this issue.
My interactions are basically the product of the constitutive terms (fxratio_ct fxclass1_ct concentrationdummy depgdp_ct) and the variable of interest (policy_ct).
Should I follow Roodman's advice of including every regressor into the instrument matrix? Or should I exclude either the interactions or the constitutive terms by default?
xtabond2 lending l.lending policy_ct fxratio_ct fxclass1_ct concentrationdummy depgdp_ct fxratio_p fxv_p dep_p cdummy_p year*, gmm(policy_ct lending fxratio_p fxv_p dep_p cdummy_p fxratio_ct depgdp_ct fxclass1_ct concentrationdummy , collapse lag(1 2)) iv( year*)small twostep robust
Thanks!
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