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From | Kit Baum <baum@bc.edu> |
To | statalist@hsphsun2.harvard.edu |
Subject | re: st: IVreg2 on interaction term |
Date | Wed, 14 Apr 2010 11:57:14 -0400 |
<> I would very much appreciate if you could help me with the following concern on IVreg2. I have an interaction term of two dummy variables (d1, d2), the first is endogenous, d2 is very probably not. I have 1 instrument for d1. I read that an IV-regression in this case must include at least two instruments: my IV for d1 and IV*d2 for the interaction term. My problem is now a technical one: I do not know how to write an ivreg2-command including two IVs. The following does not work and replies "Invalid syntax" Ivreg2 d2 (d1 = iv) (d1_d2 = iv_d2) I would very much appreciate if you could point out how such a regression is written. If you allow, I would like to ask a second question. Is it possible to use newey2 in an IV-regression (I need autocorrelation robust standard errors; data is an unbalanced panel). Re the syntax examples in the help file, what you want is ivreg2 depvar d2 (d1 d1_d2 = iv iv_d2) I presume that you inadvertently omitted the name of the dependent variable. ivreg2 with -robust bw()- options will provide HAC standard errors. But if you have a panel, what you want is Mark Schaffer's xtivreg2, which is a 'wrapper' for ivreg2. Same options apply. Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * 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/