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st: RE: Endogenous interaction terms in 2SLS
From
"Fang YU" <[email protected]>
To
<[email protected]>
Subject
st: RE: Endogenous interaction terms in 2SLS
Date
Tue, 10 Jan 2012 09:33:36 +0800
Dear Statalisters,
Thanks a lot for the helpful discussion here. The solution proposed looks sensible. Our question is how to implement it in STATA?
In the step 3 suggested by Jeffery,
"3. Estimate the equation
Y2 = b0+ b1*Y1 +b2* Y1*X1 + b3*Y1*X1*X2
Using IVs phat, phat*X1, phat*X1*X2."
Ivreg seems to only be able to instrument one variable at a time. How to instrument multiple items in the same regression? What are the correct stata codes to do it?
Many thanks,
Frank
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