I have 2 endogenous and 8 exogenous variables. I need to run regressions with double and triple interactions (triple interactions have both endogenous). I'm quite lost with xtivreg syntax and I'd appreciate your help. I'm sending bellow a list of variables and a sample of my data.
Dependent variable: price
exogenous variables: NFVA, FVA1, FVA23, NFVL, FVL1, FVL23, NI, IMR2
Endogenous variables: ADR, GOV
Instruments: firm's beta, net total debt, lagged exogenous variables
codcvm is the id variable and ano is time variable as year
My model:
Code:
Price = b0 + b1 GOV + b2 ADR + b3 NFVA + b4 FVA1 + b5 FVA1*GOV + b6 FVA1*ADR + b7 FVA1*GOV*ADR + b8 FVA23 + b9 FVA23*GOV + b10 FVA23*ADR + b11 FVA23*GOV*ADR + b12 NFVL + b13 FVL1 + b14 FVL1*GOV + b15 FVL1*ADR + b16 FVL1*GOV*ADR +b17 FVL23 + b18 FVL23*GOV + b19 FVL23*ADR + b20 FVL23*GOV*ADR + b21 NI + b22 IMR2 + error
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input int(codcvm ano) float(price GOV ADR FVA1 FVL1 NFVA NFVL NI) double(FVA23 FVL23) float IMR2 2095 2010 .01448 1 0 0 0 1 .862694 .020599604 0 0 1.8849287 2095 2011 .01231 1 0 0 0 1 .8573273 .022456584 0 0 1.895388 2095 2012 .01412 1 0 0 0 1 .8754389 .0168076 0 0 1.9299603 2095 2013 .01226 1 0 0 0 1 .8889021 .0155427 0 0 1.9609858 2095 2014 .01309 1 0 .09594385 .0003752093 .8345584 .8400778 .014977852 .06949780788272619 .0540262833237648 1.88543 2095 2015 .00776 1 0 .12627429 .0140314 .8090795 .7870296 .015319045 .06464618910104036 .09528721123933792 1.890587 2326 2010 .0434 0 1 .02898379 .0016462464 .9526519 .4137668 .17852733 .018364297226071358 .013761443085968494 1.7750353 2326 2011 .0546 0 1 .0025358796 .0032538774 .984683 .4261768 .2306608 .012781110592186451 .015483875758945942 1.7935365 2326 2012 .0837 0 1 .007191408 .0027928664 .9877713 .4083186 .1924044 .005037299823015928 .055951569229364395 1.822398 2326 2013 .01732 0 1 .007366527 .003353699 .986896 .3252531 .16599345 .005737526807934046 .04759433213621378 1.8768967 2326 2014 .01622 0 1 .012870845 .006171739 .9778092 .3422747 .1713539 .009320004843175411 .06630658358335495 1.8861154 2326 2015 .01785 0 1 .006843655 .003721524 .9802735 .3489571 .14282191 .012882862240076065 .11134995147585869 1.8859285 1931 2010 .04599 0 0 0 0 1 .8327665 .10584348 0 0 1.8634926 1931 2011 .0455 0 0 0 0 1 .8239585 .13186201 0 0 1.8739742 1931 2012 .01457 0 0 .01016879 0 .8213254 .8377029 -.0008097625 .16850577294826508 0 1.713398 1931 2013 .00924 0 0 .005542452 0 .7911574 .8631936 .01322891 .2033001333475113 0 1.707934 1931 2014 .00934 0 0 .009881306 0 .7626232 .8847253 -.014543248 .22749550640583038 0 1.6866566 1931 2015 .00566 0 0 .01057423 0 .81615 .8947548 .003912983 .17327584326267242 0 1.751985 2003 2010 .011 1 1 0 0 .8631935 .3701721 -.00645372 .13680653274059296 0 1.630657 2003 2011 .00966 1 1 0 0 .8851542 .1969214 .02274529 .11484577506780624 .005441516172140837 1.641963 2003 2012 .01 1 1 0 0 .7690469 .19807696 .018890204 .23095311224460602 .01597452349960804 1.541664 2003 2013 .00945 1 1 0 0 .6390778 .0698412 -.00560241 .3609221875667572 .1941925436258316 1.4925612 2003 2014 .00909 1 1 0 0 .6859279 .02397196 .00341979 .3140721619129181 .23323412239551544 1.569267 2003 2015 .01103 1 1 0 0 .4966458 .032631684 .05016544 .5033541917800903 .1187484860420227 1.286348 1045 2010 .01079 1 0 0 0 1 .416686 .13635743 0 0 1.8154325 1045 2011 .0124 1 0 0 0 1 .3950234 .12586007 0 0 1.819194 1045 2012 .0151 1 0 0 0 1 .3959184 .1021564 0 0 1.84827 1045 2013 .0148 1 0 0 0 1 .4543546 .09221073 0 0 1.88541 1045 2014 .00725 1 0 0 0 1 .4521624 .07682598 0 0 1.8962877 1045 2015 .00712 1 0 0 0 1 .5112147 .07235716 0 0 1.9008073 2130 2010 .0137 1 0 .07954594 0 .7138248 .4621486 .02508075 .20662923529744148 .0019466136582195759 1.530377 2130 2011 .01425 1 0 .07763467 0 .728938 .46265805 .04234599 .19342736341059208 .0002643049228936434 1.5660287 2130 2012 .02446 1 0 .06391358 0 .8743839 .5524928 .032334138 .061702530831098557 .000745051889680326 1.7797382 2130 2013 .018299999 1 0 .013620352 0 .9630429 .5852539 .015255044 .023336702957749367 .0009420430869795382 1.8704578 2130 2014 .016379999 1 0 .023937495 0 .9206727 .5687432 .04230913 .05538978800177574 .0011597869452089071 1.8370527 2130 2015 .01088 1 0 .02403402 0 .9706892 .5563391 .032069094 .00527676846832037 .001452660420909524 1.893863 2149 2010 . 1 0 . . . . . . . . 2149 2011 . 1 0 . . . . . . . . 2149 2012 . 1 0 . . . . . . . . 2149 2013 .01625 1 0 .10492772 0 .3787082 .6930389 .034670528 .5163640975952148 0 1.296765 2149 2014 .01764 1 0 .07013564 0 .4265987 .725217 .04063374 .5032656788825989 0 1.327494 2149 2015 .01315 1 0 .07251922 0 .4709961 .7492847 .02089253 .45648470520973206 0 1.3801236 2205 2010 .02516 1 0 0 0 1 .5930232 .1012331 0 .007694688625633717 1.8390068 2205 2011 .0171 1 0 0 0 .9984778 .6473874 .07296435 .0015222402289509773 0 1.8556956 2205 2012 .03253 1 0 0 0 .9923194 .5725522 .09420037 .007680611684918404 .0017286088550463319 1.8588928 2205 2013 .0186 1 0 0 0 .995603 .5681178 .033186056 .004396964330226183 .0019135798793286085 1.8945718 2205 2014 .0145 1 0 0 0 .9925854 .6106304 .017207507 .007414636202156544 0 1.9062322 2205 2015 .00485 1 0 0 0 .9924064 .6049464 -.01262793 .007593564689159393 0 1.9035524 2324 2010 . 1 0 . . . . . . . . 2324 2011 . 1 0 . . . . . . . . 2324 2012 . 1 0 . . . . . . . . 2324 2013 .0212 1 0 0 0 1 .2026117 .04424335 0 .24000747501850128 1.9750292 2324 2014 .03535 1 0 0 0 1 .22638027 .1746635 0 .14200007915496826 1.927466 2324 2015 .0138 1 0 0 0 1 .19161797 .05460474 0 .26225975155830383 1.9936877 1977 2010 .05999 0 0 0 0 1 .7745959 .063102864 0 0 1.8395628 1977 2011 .061 0 0 0 0 1 .7480395 .07286048 0 0 1.8444486 1977 2012 .01895 0 0 0 0 1 .7342969 .06672255 0 0 1.9044997 1977 2013 .01905 0 0 0 0 1 .7449355 .063283935 0 0 1.9333266 1977 2014 .0124 0 0 0 0 1 .778156 .04761028 0 0 1.9501094 1977 2015 .00965 0 0 0 0 1 .7773314 .014813367 0 0 1.9433042 2234 2010 . 1 0 . . . . . . . . 2234 2011 .02309 1 0 0 0 1 .2478928 .1794124 0 0 1.7891186 2234 2012 .03943 1 0 0 0 1 .2869849 .1521762 0 0 1.815005 2234 2013 .02975 1 0 0 0 1 .26897734 .15706825 0 0 1.8459507 2234 2014 .02696 1 0 0 0 1 .27647647 .14155772 0 0 1.8551208 2234 2015 .021 1 0 0 0 1 .2764138 .14012913 0 0 1.8532676 1542 2010 .00032 0 0 0 0 1 49.10069 -1.5720824 0 0 11.81471 1542 2011 .00018 0 0 0 0 1 45.21605 -.9650206 0 0 11.048302 1542 2012 .00008 0 0 0 0 1 46.46199 -3.5730994 0 0 11.115204 1542 2013 .00012 0 0 0 0 1 13.884973 -3.011132 0 0 4.2892194 1542 2014 .00005 0 0 0 0 1 14.830156 -1.7937608 0 0 4.600495 1542 2015 .00027000002 0 0 0 0 1 14.83882 -.008665511 0 0 4.7537165 70 2010 .0123 0 0 0 0 1 .27834797 .5145227 0 0 1.8185687 70 2011 .0081 0 0 0 0 1 .21150658 -.03864317 0 0 1.7763908 70 2012 .00678 0 0 0 0 1 .05755222 -.03805843 0 0 1.7820703 70 2013 .0052 0 0 0 0 1 .12239589 -.05820633 0 0 1.8201787 70 2014 .00524 0 0 0 0 1 .2125779 .10753497 0 0 1.856399 70 2015 .00304 0 0 0 0 1 .1617525 -.018043786 0 0 1.8329862 601 2010 .00271 0 0 0 0 1 .9352943 -.1523916 0 0 1.893153 601 2011 .00308 0 0 0 0 1 .8917627 .05648189 0 0 1.9110053 601 2012 .00435 0 0 0 0 1 .7922776 .10369716 0 0 1.928566 601 2013 .0102 0 0 0 0 1 .6084999 .22277114 0 0 1.9271795 601 2014 .0107 0 0 .23880628 .01730539 .7611938 .4911647 .19340244 0 0 1.8600703 601 2015 .0075 0 0 .10072467 .016168384 .8992754 .466061 .10052438 0 0 1.8665117 92 2010 .00054000004 0 0 0 0 1 .7714935 .016800253 0 0 1.8779932 92 2011 .0004 0 0 0 0 1 .8040627 .0079589905 0 0 1.8930835 92 2012 .00037 0 0 0 0 1 .8069783 .015777923 0 0 1.927242 92 2013 .00033 0 0 0 0 1 .8565773 .01610735 0 0 1.9637246 92 2014 .00025 0 0 0 0 1 .7830876 .01500342 0 0 1.9572564 92 2015 .00025 0 0 0 0 1 .8407562 .02060466 0 0 1.962252 102 2010 .03142 1 0 .12019207 .0026019185 .8431765 .9276564 .014427473 .036631352035328746 .0075592788780340925 1.822465 102 2011 .0237 1 0 .10823505 .002838721 .8440334 .9331109 .01235795 .0477315938915126 .004968998847743933 1.8252867 102 2012 .0256 1 0 .0993982 0 .8509784 .9357227 .010608663 .04962341347709298 .007348516053788501 1.8596928 102 2013 .0244 1 0 .08332316 0 .8564683 .9409929 .012085094 .06020851212088019 .005685916170477867 1.8772106 102 2014 .02377 1 0 .03970604 0 .9261969 .9439889 .007823253 .03409701958298683 .00208375439979136 1.921996 102 2015 .01474 1 0 .04479542 0 .9190507 .9414504 .010277114 .036153946071863174 .002588964067399502 1.9191633 90 2010 .03265 1 1 0 0 1 .9246368 .015720649 0 0 1.8828037 90 2011 .03075 1 1 0 0 1 .9270134 .014481674 0 0 1.89424 90 2012 .035169996 1 1 0 0 1 .9203184 .012946588 0 0 1.9226907 90 2013 .02909 1 1 0 0 1 .9218845 .013225975 0 0 1.9546788 end format %ty ano
0 Response to Panel 2sls with multiple interations of endogeneous variables
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