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Re: st: RE: Endogenous interaction terms in 2SLS


From   Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Endogenous interaction terms in 2SLS
Date   Mon, 9 Jan 2012 17:40:36 -0800

"Ivreg seems to only be able to instrument one variable at a time."

is not true (either for -ivregress- or for the user-written -ivreg2-
(Baum, Schaffer and Stillman, SSC)). You should see the help-files or
the manual.

T


On Mon, Jan 9, 2012 at 5:33 PM, Fang YU <fyu@ceibs.edu> wrote:
> Dear Statalisters,
>
> Thanks a lot for the helpful discussion here.  The solution proposed looks sensible.  Our question is how to implement it in STATA?
>
> In the step 3 suggested by Jeffery,
>
> "3. Estimate the equation
> Y2 = b0+ b1*Y1 +b2* Y1*X1 + b3*Y1*X1*X2
> Using IVs phat, phat*X1, phat*X1*X2."
>
> Ivreg seems to only be able to instrument one variable at a time. How to instrument multiple items in the same regression?  What are the correct stata codes to do it?
>
> Many thanks,
>
> Frank
>
>
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-- 
Tirthankar Chakravarty
tchakravarty@ucsd.edu
tirthankar.chakravarty@gmail.com

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