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st: xtabond2: Interpretation of coefficients for current and lagged values with interaction term


From   Carmen Jones <jcarmen1203@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtabond2: Interpretation of coefficients for current and lagged values with interaction term
Date   Thu, 17 Oct 2013 09:59:35 -0400

Dear All,

I would really appreciate if you could help interpret the results of my xtabond regression:

My (simplified) model is: Y(t) = a0 + a1Y(t-1) + b0X1(t) +b1X1(t-1) + c0X2(t) + c1X2(t-1) + d0X1X2(t) + d1X1X2(t-1)

As you can see I also include an interaction term between my two variables of interest X1 and X2.

1) When interpreting I am currently only considering the equation with the current interaction effect (d0) and the two current conditional main effects (b0 and c0). This should give me the short-run overall effect of X1X2. Is this correct? 2) How do I determine the overall long-run effect of X1X2 using my lagged variables?

Thank you,

Carmen

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