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st: Using ivregress when the endogenous variable is used in an interaction term in the main regression
From
Nick Kohn <[email protected]>
To
[email protected]
Subject
st: Using ivregress when the endogenous variable is used in an interaction term in the main regression
Date
Wed, 21 Dec 2011 11:24:43 +0100
Hi,
I have a specification in which the endogenous variable is interacted
with an exogenous variable. Since I cannot multiply the variables
directly in the regression, I create a new variable. In ivregress it
makes no sense to use the entire interaction term as the endogenous
variable.
I can do the first stage manually (and then use the fitted value in
the main regression), however, from what I remember the standard
errors will be wrong when doing it manually.
Is there a way to overcome this?
Thanks
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