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CMP model with interaction between endogenous and exogenous variables
CMP model with interaction between endogenous and exogenous variables

Dear all，

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 + controls.

I consider using CMP (Roodman, 2011) but I don't know how to write a code in stata.

Any insights are greatly appreciated.

Best regards,

Yeting

BJ Data Tech Solution

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