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From |
Daniel Yue <xyrixx@hotmail.com> |

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

Subject |
st: Modelling of categorical-continuous variable interaction |

Date |
Mon, 1 Jul 2013 15:10:50 +0200 |

Dear Statalisters, I would love your advice my model of the following specifications: y = i + t + (I*x1) + (I*x2) + (I*x3) where i and t are firm- and time-fixed effects, respectively, “I” is an indicator variable with values 0-2 and x1-x3 are the three IVs. “I” are supposed to illustrate three “categories” the firms are put into, depending on firm performance relative to two reference points: I==1 if performance of the firm is below a both reference points, I==2 if it is in between, I==3 if it is above. What I want to find out is whether y’s reaction to x1 x2 x3 differs in strength, i.e. if the slope of the coefficients for x1-x3 are different, depending on the “category” of the firm (hence the indicators), The data is in panel format. I – xtset – the dataset and ran the following in Stata 12: xtreg y I#c.x1 I#c.x2 I#c.x3, fe My questions: 1.Do the coefficients for I#x1 I#x2 I#x3 really measure what I want them to, as described above? 2.If I instead run xtreg y I##c.x1 I##c.x2 I##c.x3, fe the results seem to differ by a lot, although I had expected them to be the same. What is wrong? 3. I also ran by I: xtreg y x1 x2 x3, fe because I thought the results there should be the same as with the original equation. Again, there are not. Why not? What am I missing? Thanks for your consideration! Daniel * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Modelling of categorical-continuous variable interaction***From:*Maarten Buis <maartenlbuis@gmail.com>

**References**:**st: FW: query on merging***From:*Amal Khanolkar <Amal.Khanolkar@ki.se>

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