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RE: st: IV: endogenous interaction regressor and interaction instrument
From
DE SOUZA Eric <[email protected]>
To
"'[email protected]'" <[email protected]>
Subject
RE: st: IV: endogenous interaction regressor and interaction instrument
Date
Mon, 25 Nov 2013 20:09:37 +0100
I tried to reply on Friday, but my message was being returned. My IT service told me today that because of problems they had to reroute outgoing emails through another IP address.
The message which I tried to post is the following:
"The equation of interest is your second stage. You have one endogenous regressor, X1, and an interaction term involving that endogenous regressor and an exogenous variable, Z2: X1*Z2. Your two instruments will be Z1 and Z1*Z2"
Hopefully it provides some background to your Stata commands, Austin.
Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Austin Nichols
Sent: 25 November 2013 18:34
To: [email protected]
Subject: Re: st: IV: endogenous interaction regressor and interaction instrument
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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