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st: Interactions using -xtivreg- Instrumental Variables estimation


From   David Torres <writeon4truth2@msn.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Interactions using -xtivreg- Instrumental Variables estimation
Date   Tue, 30 Jul 2013 17:46:06 -0400

Hello, all,

So I'm using an instrumental variables approach with two-level data using Stata's -xtivreg- command.  My single IV relates to a level-one time-varying variable.  I'd like to include interactions between the level one variable and dummies at level two denoting sex and race/ethnicity.

How is this done?  Do I produce interactions between the instrument and my dummies, as well as between the variable being instrumented for and my dummies, and then simply insert everything in my model like this:

xtivreg mathsc year male black hispan othrace (var1 var1*male var1*black var1*hispan var1*othrace = instrument instrument*male instrument*black instrument*hispan instrument*othrace), re

or should I be setting the model up differently?

Thanks in advance for your help.

--

David Diego Torres, PhD
NSF SBE Postdoctoral Research Fellow
Houston Education Research Consortium
Rice University
6100 Main Street, MS-28
Houston, TX  77005
Phone: 713-348-2984
Email: ddtorres at rice dot edu 		 	   		  
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