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st: How to specify first stage when the instrument is the interaction of two variables?
From
lutunnahar begum <[email protected]>
To
[email protected]
Subject
st: How to specify first stage when the instrument is the interaction of two variables?
Date
Wed, 30 May 2012 10:30:32 +1000
Dear statalist
I am estimating out-of-sample 2SLS estimation. My instrument is the
interaction of two variables. Do I also need to include these two
variables individually in the first stage? I am confused because I do
not have these two variables in my second stage and my instrument is
just the interaction of the two terms. So including the two variables
in the first stage violates the condition that the first stage and
second stage specifications should be same.
Your valuable suggestion is highly appreciated.
Thanking you,
Nahar
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