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From |
Nick Kohn <coffeemug.nick@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 12:43:23 +0100 |

Thanks for the reply. My simplified model is (X2 is endogenous): Y = b*X1*X2 + controls In regards to the third option you suggest, would I do the following? 1) First stage regression to get X2hat using the instrument Z 2) Run the first stage again but use X1*X2hat as the instrument for X1*X2 (so Z is no longer used) 3) Run the second stage using (X1*X2)hat (so the whole product is fitted from step 2)) On Wed, Dec 21, 2011 at 12:24 PM, Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com> wrote: > 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/ * * 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/

**Follow-Ups**:**Re: st: Using ivregress when the endogenous variable is used in an interaction term in the main regression***From:*Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>

**References**:**st: Using ivregress when the endogenous variable is used in an interaction term in the main regression***From:*Nick Kohn <coffeemug.nick@gmail.com>

**Re: st: Using ivregress when the endogenous variable is used in an interaction term in the main regression***From:*Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>

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