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From |
Nick Kohn <[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 15:03:13 +0100 |

Hmmm I see what you mean, but I'm following the methodology of a well cited paper that does the same thing. I'll be sure to discuss this limitation, but in terms of using this model, would the 3 steps in my last message be correct? On Wed, Dec 21, 2011 at 2:56 PM, Tirthankar Chakravarty <[email protected]> wrote: > I wanted to indirectly confirm that you did have the main effect in > the regression because even though I don't know the nature of your > study, a hard-to-defend methodological position arises when you > include interaction terms without including the main effect. You might > want to take that on the authority of someone who (literally) wrote > the book on the subject: > > http://www.stata.com/statalist/archive/2011-03/msg00188.html > > and reconsider your decision to not include the main effect. > > T > > On Wed, Dec 21, 2011 at 5:46 AM, Nick Kohn <[email protected]> wrote: >> My model doesn't have X2 as a separate term, so in terms of the model >> you had it looks like: >> Y = b*X1*X2 + controls >> So the only place the endogenous variable comes up is the interaction term >> >> At the risk of being repetitive, would these be the correct steps (so >> essentially only step 3 changes from what you said): >> 1) regress X2 on all instruments, exogenous variables and controls >> 2) Form interactions of X2hat with the exogenous variable X1, that is, X2hat*X1 >> 3) ivregress instrumenting for X2*X1 using X2hat*X1. >> >> On Wed, Dec 21, 2011 at 1:44 PM, Tirthankar Chakravarty >> <[email protected]> wrote: >>> 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 <[email protected]> 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 >>>> <[email protected]> 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 <[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/ >>>> >>>> * >>>> * 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/ >> >> * >> * 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/ * * 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 <[email protected]>

**References**:**st: Using ivregress when the endogenous variable is used in an interaction term in the main regression***From:*Nick Kohn <[email protected]>

**Re: st: Using ivregress when the endogenous variable is used in an interaction term in the main regression***From:*Tirthankar Chakravarty <[email protected]>

*From:*Nick Kohn <[email protected]>

*From:*Tirthankar Chakravarty <[email protected]>

*From:*Nick Kohn <[email protected]>

*From:*Tirthankar Chakravarty <[email protected]>

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