Re: [R] Issues when using interaction term with a lagged variable

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

[R] 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 wit