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Re: st: IV: endogenous interaction regressor and interaction instrument
From
Austin Nichols <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: IV: endogenous interaction regressor and interaction instrument
Date
Mon, 25 Nov 2013 12:33:55 -0500
Olivia Bertelli <[email protected]>:
gen Z1xZ2=Z1*Z2
gen X1xZ2=X1*Z2
ssc inst ivreg2
ivreg2 Y Z2 (X1 X1xZ2=Z1 Z1xZ2)
On Fri, Nov 22, 2013 at 11:03 AM, Olivia Bertelli
<[email protected]> wrote:
> Dear Statalists,
>
> I want to estimate the following regression with an IV 2SLS method,
> having two endogenous regressors:
>
> 1st stage:
>
> X1 = b1*Z1 + b2*(Z1 x Z2)
>
> and
>
> X1 x Z2 = b1*Z1 + b2*(Z1 x Z2)
>
> where, Z1 and Z1 x Z2 are the excluded instruments, X1 is endogenous,
> and both X1 x Z2 and Z1 x Z2 are interaction terms
>
> 2nd stage:
>
> Y = a1*X1 + a2 *(X1 x Z2)
>
> My question is: how to I handle endogenous interaction terms
> instrumented with exogenous interactions? should I include also a3*Z2
> alone in the 2nd stage? Or rather in the first stage? Neither of the
> two?
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