I am wondering if anyone had any experience in including an interaction term in 2SLS using xtivreg?
I am now having a successful 2SLS, not including any interaction terms as follows:
Code:
xtivreg PatMV_real_log Lev CAPX_AT Size rd_log sale_log number_log (inverse_D = toughness_normalized) i.fyear, fe
This is successful, and I have the results like this:
Code:
Fixed-effects (within) IV regression Number of obs = 5,066 Group variable: all_cluster Number of groups = 554 R-squared: Obs per group: Within = . min = 1 Between = 0.2823 avg = 9.1 Overall = 0.3891 max = 31 Wald chi2(37) = 19922.00 corr(u_i, Xb) = 0.0856 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ PatMV_real~g | Coefficient Std. err. z P>|z| [95% conf. interval] -------------+---------------------------------------------------------------- inverse_D | 13.87709 5.667382 2.45 0.014 2.769226 24.98496 Lev | .0032969 .0029638 1.11 0.266 -.002512 .0091058 CAPX_AT | 1.526791 .6927957 2.20 0.028 .1689361 2.884645 Size | .0862929 .0621718 1.39 0.165 -.0355617 .2081474 rd_log | -.084102 .3179503 -0.26 0.791 -.7072731 .539069 sale_log | .1517564 .0322944 4.70 0.000 .0884605 .2150523 number_log | .0404435 .0334691 1.21 0.227 -.0251548 .1060417 | fyear | 1986 | -.1775167 .298694 -0.59 0.552 -.7629462 .4079129 1987 | -.0519888 .3001776 -0.17 0.862 -.6403262 .5363485 1988 | -.0481431 .3076404 -0.16 0.876 -.6511073 .554821 1989 | .0163748 .2844115 0.06 0.954 -.5410614 .573811 1990 | -.0718744 .2990964 -0.24 0.810 -.6580925 .5143437 1991 | -.2075746 .3433348 -0.60 0.545 -.8804984 .4653492 1992 | -.2268283 .3502615 -0.65 0.517 -.9133282 .4596715 1993 | .1302594 .3597807 0.36 0.717 -.5748978 .8354166 1994 | .394627 .391701 1.01 0.314 -.3730928 1.162347 1995 | -.2333602 .4519216 -0.52 0.606 -1.11911 .6523898 1996 | .1275317 .4482286 0.28 0.776 -.7509803 1.006044 1997 | -.1892146 .55809 -0.34 0.735 -1.283051 .9046217 1998 | -.3070482 .5836953 -0.53 0.599 -1.45107 .8369736 1999 | -.6370051 .6263369 -1.02 0.309 -1.864603 .5905927 2000 | -.8418151 .6641659 -1.27 0.205 -2.143556 .4599261 2001 | -1.119607 .7252079 -1.54 0.123 -2.540988 .3017744 2002 | -1.545625 .8150542 -1.90 0.058 -3.143102 .0518518 2003 | -1.636655 .8022847 -2.04 0.041 -3.209104 -.0642054 2004 | -1.786408 .8443835 -2.12 0.034 -3.441369 -.1314466 2005 | -1.878826 .8648506 -2.17 0.030 -3.573902 -.1837496 2006 | -2.023935 .8749888 -2.31 0.021 -3.738882 -.3089884 2007 | -2.223262 .9041965 -2.46 0.014 -3.995455 -.4510695 2008 | -2.062127 .8859147 -2.33 0.020 -3.798488 -.3257664 2009 | -2.24123 .9245712 -2.42 0.015 -4.053357 -.4291043 2010 | -2.249556 .9657848 -2.33 0.020 -4.142459 -.3566523 2011 | -2.138431 .923046 -2.32 0.021 -3.947568 -.3292945 2012 | -2.460573 .9528901 -2.58 0.010 -4.328203 -.592943 2013 | -3.264231 .9082721 -3.59 0.000 -5.044412 -1.484051 2014 | -4.738765 .8172058 -5.80 0.000 -6.340459 -3.137071 2015 | -7.135273 .62943 -11.34 0.000 -8.368933 -5.901613 | _cons | 1.398011 .499853 2.80 0.005 .4183173 2.377705 -------------+---------------------------------------------------------------- sigma_u | 1.6160709 sigma_e | 1.3406031 rho | .5923664 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(553,4475) = 4.74 Prob > F = 0.0000 ------------------------------------------------------------------------------ Instrumented: inverse_D Instruments: Lev CAPX_AT Size rd_log sale_log number_log 1986.fyear 1987.fyear 1988.fyear 1989.fyear 1990.fyear 1991.fyear 1992.fyear 1993.fyear 1994.fyear 1995.fyear 1996.fyear 1997.fyear 1998.fyear 1999.fyear 2000.fyear 2001.fyear 2002.fyear 2003.fyear 2004.fyear 2005.fyear 2006.fyear 2007.fyear 2008.fyear 2009.fyear 2010.fyear 2011.fyear 2012.fyear 2013.fyear 2014.fyear 2015.fyear toughness_normalized
Code:
gen int_log_analysts = c.inverse_D#c.log_analysts gen int_log_analysts_iv = c.toughness_normalized#c.log_analysts
Code:
xtivreg PatMV_real_log Lev CAPX_AT Size rd_log sale_log number_log log_analysts (inverse_D int_log_analysts= toughness_normalized int_log_analysts_iv) i.fyear, fe
For more information, I am trying to mimic the code using ivreg2:
Code:
ivreg2 y w (x c.x#c.w= z c.z#c.w)
Many Thanks,
Harry
0 Response to Stata Command: including interaction terms of the endogenous variable in 2SLS using xtivreg
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