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From |
"Bernini, Michele" <Michele.Bernini@unitn.it> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
st: instrumenting interaction and Hansen J statistic |

Date |
Sun, 27 May 2012 19:45:07 +0200 |

Dear statalister, I am using using the command ivreg2 to estimate by 2sls this kind of model: y= A + B + ( A*X B*X X = A*Z1 A*Z_2 B*Z_1 B*Z_2 Z_1 Z_2) +controls where X is the endogenous variable that I want to interact with the exogenous regressors A and B, and Z_1 and Z_2 are my two instruments. I had a look on the internet and it seems legitimate to instrument interaction terms this way. However the Hansen statistic is not convincing. When I include all the 6 instruments it gives me a p-value of 0.39, however when I use only 4 of them (in different combinations) the p value gets as smaller than 0.07. First stage statistics look rather good (high F values and K-P stat). I was wondering whether the rejection to fail the exogeneity of the instruments could be caused by high collinearity among them and if someone has a better strategy to instrument the interaction terms. Thanks a lot, Michele * * 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/

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