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From |
Cameron McIntosh <cnm100@hotmail.com> |

To |
STATA LIST <statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: Interaction Variables as Instruments |

Date |
Fri, 20 Jan 2012 18:11:10 -0500 |

Jessie, Is this a wage differential analysis? At first glance, your instrumenting seems confusing and strikes me as overkill (and you have a 3-way interaction m*x*z_1?), but for now I'll let others chime in on that... I think you may want to see this paper: Overton, R.C. (2001). Moderated multiple regression for interactions involving categorical variables: a statistical control for heterogeneous variance across two groups. Psychological Methods, 6(3), 218-233. and also look into Blinder-Oaxaca decompositions, as these will help you quantify intergroup gaps and the degree to which given predictors are responsible for those gaps: Jann, B. (2008). The Blinder–Oaxaca decomposition for linear regression models. The Stata Journal, 8(4), 453-479.http://www.ssc.wisc.edu/~jmuniz/jann_oaxaca.pdf Jann, B. (May 6, 2008). OAXACA: Stata module to compute the Blinder-Oaxaca decomposition.http://ideas.repec.org/c/boc/bocode/s456936.html Elder, T.E., Goddeeris, J.H., & Haider, S.J. (2010). Unexplained gaps and Oaxaca–Blinder decompositions. Labour Economics, 17, 284–290.https://www.msu.edu/~telder/2010-LE.pdf Emamian, M.H., Zeraati, H., Majdzadeh, R., Shariati, M., Hashemi, H., & Fotouhi, A. (2011). The Gap of Visual Impairment Between Economic Groups in Shahroud, Iran: A Blinder-Oaxaca Decomposition. American Journal of Epidemiology, 173, 1463-1467. Ñopo, H. (2008). An extension of the Blinder–Oaxaca decomposition to a continuum of comparison groups. Economics Letters, 100(2), 292-296. Heinrichs, J., & Kennedy, P. (2007). A computational trick for calculating the Blinder-Oaxaca decomposition and its standard error. Economics Bulletin, 3(66), 1-7.http://webcache.googleusercontent.com/search?q=cache:http://www.accessecon.com/pubs/eb/2007/volume3/EB-07C00003A.pdf Cam > Date: Fri, 20 Jan 2012 10:58:23 -0500 > Subject: st: Interaction Variables as Instruments > From: jessiecoh@gmail.com > To: statalist@hsphsun2.harvard.edu > > Dear statalist, > > I am having some programming trouble with 2SLS and would appreciate any help :) > > I want to estimate a 2 stage least squares model. The goal is to > estimate the relationship between x and y. x is not exogenous. > > Consider 2 groups (e.g. men and women), represented by z_1. Consider > a policy that affects one group relative to the other, represented by > z_2. The first stage is therefore: > x = constant + a*z_1 + b*z_2 + c*z_1*z_2 + e > > I am not sure what the second-stage should be and how to implement it > in Stata. Would the second stage be > y = constant + k*x + u, instrument x with the z_1, z_2, and z_1*z_2 > y = constant + k*x + l*z_1 + u, instrument x with z_2 and z_1*z_2 > y = constant + k*x + l*z_1 + m*x*z_1 + u, instrument x and x*z_1 with > z_2 and z_1*z_2 > > I am having difficulty because z_1 is not the exogenous source of variation. > > The goal is to say that the gap between group 1 (e.g. men) and group 2 > (e.g. women) with regards to y has narrowed because of a reduction in > the corresponding gap in x, and the reduction in the gap in x is the > result of exogenous policy z_2. > > Any help would be very much appreciated :) > > * > * 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/

**References**:**st: Interaction Variables as Instruments***From:*Jessie C <jessiecoh@gmail.com>

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