Actually, the problem number 2 is easy to solve: instead of using I(X1 * lag(X2,1)), one should use X1:lag(X2,1). It works.
The issue number 1 remains, though. And also affects this solution for number 2. It means: results are different with one uses X1:lag(X2,1) whithin the formula or uses a new variable previouysly created with X1*lag(X2,1). Any insights here would be very hepful. 2013/3/5 Richard Asturia <[email protected]> > 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! > [[alternative HTML version deleted]] ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
