Dear Stata users,

I am trying to analyze IV regression but xtivreg2 does not support interaction.


Code

edu is a categorical variable and wage is a continuous variable. Here, wage is endogenous, therefore I set IV as insurance payment amount.

gen eduXwage = edu#c.wage

xtset ind_year


Firstly, I would like to run the following:

xtivreg2. depvar (wage i.edu#c.wage = insurance i.edu#c.insurance) control1 control2 i.ind_year

but xtivreg2 does not support interaction.

If this is the case, I can have the same results using the following regression?

ivreghdfe depvar i.edu (wage i.edu#c.wage = insurance i.edu#c.insurance) control1 control2 i.ind_year

I also wonder what would be the change if I add "Fe, first" in the end. OR would you have better identification strategies?

ivreghdfe depvar i.edu (wage i.edu#c.wage = insurance i.edu#c.insurance) control1 control2 i.ind_year, fe first



Secondly, if I use ivreghdfe, then I don't get the result for the weak identification test.

Weak identification test (Cragg-Donald Wald F statistic): 211.116
Stock-Yogo weak ID test critical values: <not available>

Would you have any advises on how to examine endogenous regressor in this case?

Thank you very much!!!