Hi there!
Today I tried to estimate models using both plm and pgmm functions, with an
interaction between X1 and lag(X2, 1). And I notice two issues.
Let "Y=b_1 * X_1 + b_2 * X_2 + b_3 * X_1 * x_2 + e" be our model.
1) When using plm, I got different results when I coded the interaction
term with I(X1 * lag(X2, 1)) and when I just saved this multiplication X1 *
lag(X2, 1) in a different variable of the dataset and then used it. in the
regression.
2) With pgmm it is not even possible to run a formula which contains I(X1 *
lag(X2, 1)). How can I pass such interaction?
Thanks in advance for your time!
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