I am measuring the impact of distance to the nearest city on employment outcomes.

Y = b0 + b1*X1 + b2*X2 + b3*X1*X2 + controls + e
  • Y is a binary variable.
  • X1 is a categorical variable (income categories)
  • X2 is an continuous endogenous variable (distance), instrumented by Z.
I would like to interact the categorical variable and the instrumented variable to see the impact of distance on employment outcomes given different income categories. When I do ivprobit regression with this interaction, it increases coefficients a lot. I was wondering whether I am doing it correctly or is there any specific command I should use for this?

Thank you very much!