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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 04:44:14 -0800 |
Not quite; here is the recommended procedure (I am assuming that you have the main effect of the endogenous variable in there as in Y = a*X2 + b*X1*X2 + controls): 1) -regress- X2 on _all_ instruments (included exogenous controls and excluded instruments) and get predictions X2hat. 2) Form interactions of X2hat with the exogenous variable X1, that is, X2hat*X1. 3) -ivregress- instrumenting for X2 and X2*X1 using X2hat and X2hat*X1. Note that there is distinction between two calls to -regress- and using -ivregress- for 3). T On Wed, Dec 21, 2011 at 3:43 AM, Nick Kohn <coffeemug.nick@gmail.com> wrote: > 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/ -- 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/