Dear Statalist users,

I am wondering if I would estimate a regression like this:

Y = X + X * Y_Q2 + X * Y_Q3 + X * Y_Q4 + X * Y_Q5 + Y_Q2 + Y_Q3 +Y_Q4 + Y_Q5

Y_Q2 is an indicator variable of whether Y is in the 2nd quintile of the sample, and Y_Q3-5 is defined similarly.

In other words, I want to put interaction terms of X and indictors of Y quintile.

The reason I want to put interaction terms of X and Y quintile is that I suspect the relationship between Y and X is non-linear and I want to see how the coefficients changes as Y changes.

The reason I don’t flip Y and X (that is, making Y the independent variable and X the dependent variable) is that it is the convention in the literature that Y is the dependent variable.

Technically I can run the regression. But I am wondering if there is any problem econometrics-wise.

I would appreciate any comments/advices. Thank you so much!