Hi All,
My question is like this: I am having an endogenous variable X1 and an exogenous variable X2 and instruments Z1 and Z2 for my endogenous variable and having one interaction term between endogenous and exogenous variable X1*X2. So my model goes like this
Y = X1 + X1* X2 + X2 + controls
In order to have an unbiased impact of the coefficient of my interaction term (X1* X2) on my dependent variable (Y), how can I frame my instrumental variable regression?
I did this following the past posts of STATA forum which is
ivreg2 Y (X1 X1*X2 = Z1 Z2 Z1*X2 Z2*X2) X2 + other controls
here Z1*X2 and Z2*X2 are serving as my instruments for my interaction term, X1*X2. Am I doing this correctly?
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