I have an endogenous variable P . In my specification I also have interaction of P with X (X is an exogenous dummy variable). My model looks like
Y=P+PX+U
where P is endogenous and X is exogenous
I need to instrument X with Z. Based on posts on the forum I understood that I need to use
ivregrress Y (P PX= Z ZX)
My doubt lies in interpretation of the two first stage least square regressions I get. I am not able to interpret the two first stage regressions I get:
P=B1Z+B2.ZX
P.X=B3Z+B4.ZX
Any help is deeply appreciated.
Related Posts with iv with interaction
Marginsplot with missing values of x-variableDear all, I am trying to plot fitted values on the month variable. Where Month variable has informa…
Goodness of Fit in Generalized Structural Equation ModelingRecently I am using GSEM to analyze dataset, but I have not found a way to get the goodness of fit s…
First difference regression and fixed effect regressionHello I try to make a regression, with panel data over a period of eight years, in which I will inve…
For loops for generating cumulative sums of variables?Dear All, I'm pretty new to Stata, and am having difficulty in creating for loops for the followin…
Cluster-robust estimationWe have a question regarding the cluster-robust estimation of standard errors in a (1) simple random…
Subscribe to:
Post Comments (Atom)
0 Response to iv with interaction
Post a Comment