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From |
Maarten Buis <[email protected]> |

To |
[email protected] |

Subject |
Re: st: Interaction terms in dynamic models |

Date |
Tue, 10 May 2011 18:45:45 +0200 |

On Tue, May 10, 2011 at 6:07 PM, Hewan Belay <[email protected]> wrote: > I am wondering about the following: I am able to include interaction terms with no problem in a range of estimation models, but not in dynamic ones. Is there a reason why this is not working, or do I need to do something differently? Here are some toy examples of what I mean: > > All of the following regression commands run just fine: > > webuse abdata > regress wage c.emp#c.cap > xtreg wage c.emp#c.cap > xtreg wage c.emp#c.cap, fe > xtgls wage c.emp#c.cap > xttobit wage c.emp#c.cap > > But the following don't run: > xtabond wage c.emp#c.cap > xtdpd L(0/1).wage c.emp#c.cap, dgmmiv(wage) div(c.emp#c.cap) > > In the above two, I get the error message "cemp#c: operator invalid". For some reason xtabond and xtdpd don't seem to recognise the interaction specification c.varname1#c.varname2. You can add interaction, you just need to make them yourself. Remember that an interaction nothing other than a new variable containing the product of two variables. What you noticed is that Stata's new factor variable notation did not (yet) make it into -xtabond- and -xtdpd-. This is (rather tersely) documented in the helpfile by the absence of a sentence like "indepvars may contain factor variables". It is good that Stata's helpfiles are concise but here they may have overdone that a bit. Adding a sentence saying that factor variables are not allowed could be helpful. My guess on why StataCorp has not implemented factor variables for -xtabond- and -stdpd- (yet) is that there is something special about how variable lists are parsed in these commands that would require them to do a major rewrite of these commands in order to implement the factor variable notation for these commands. But that is just my gut-feeling, I haven't looked at the underlying code of these commands to substantiate this guess. Hope this helps, Maarten -------------------------- Maarten L. Buis Institut fuer Soziologie Universitaet Tuebingen Wilhelmstrasse 36 72074 Tuebingen Germany http://www.maartenbuis.nl -------------------------- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Interaction terms in dynamic models***From:*Hewan Belay <[email protected]>

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