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| From | Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| 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 <coffeemug.nick@gmail.com> 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 tchakravarty@ucsd.edu tirthankar.chakravarty@gmail.com * * 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/