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]]

