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Re: st: Using ivregress when the endogenous variable is used in an interaction term in the main regression
From
Tirthankar Chakravarty <[email protected]>
To
[email protected]
Subject
Re: st: Using ivregress when the endogenous variable is used in an interaction term in the main regression
Date
Wed, 21 Dec 2011 03:24:21 -0800
You can see my previous reply to a similar question here:
http://www.stata.com/statalist/archive/2011-08/msg01496.html
T
On Wed, Dec 21, 2011 at 2:24 AM, Nick Kohn <[email protected]> wrote:
> Hi,
>
> I have a specification in which the endogenous variable is interacted
> with an exogenous variable. Since I cannot multiply the variables
> directly in the regression, I create a new variable. In ivregress it
> makes no sense to use the entire interaction term as the endogenous
> variable.
>
> I can do the first stage manually (and then use the fitted value in
> the main regression), however, from what I remember the standard
> errors will be wrong when doing it manually.
>
> Is there a way to overcome this?
>
> Thanks
> *
> * 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/
--
Tirthankar Chakravarty
[email protected]
[email protected]
*
* 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/