R help - Mar 2013 - Issues when using interaction term with a lagged variable

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]]

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 <richard.asturia@gmail.com>
> 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]]

Hello.
It is impossible to be of any real help w/o a reproducible example (see
the Posting Guide).

One guess might be that the data be a regular data.frame, so that
outside the model lag() calls lag.default(), whose behaviour is
different from lag.pseries().

Always better to do things inside formulas.
Best wishes
Giovanni

Giovanni Millo, PhD
Research Dept.,
Assicurazioni Generali SpA
Via Machiavelli 3,
34132 Trieste (Italy)
tel. +39 040 671184
fax  +39 040 671160

--------------- original message ---------------

Message: 58
Date: Tue, 5 Mar 2013 20:54:25 -0300
From: Richard Asturia <richard.asturia at gmail.com>
To: r-help at r-project.org
Subject: Re: [R] Issues when using interaction term with a lagged
	variable
Message-ID:
	
<CA+xNL7owdy=YxR_Z24acb8XnWsYdASnmHm8FDEGNsVRbVnQrag at mail.gmail.com>
Content-Type: text/plain

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 <richard.asturia at gmail.com>
> 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!
>
------------- end original message -------------

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Ai sensi del D.Lgs. 196/2003 si precisa che le informazi...{{dropped:12}}