Is it possible to include interaction term with categorical variables in X?

[ShunyuanZ]

I have two categorial variables M1, M2, I wanted to add M1 * M2 as a control variable. Yet, it does not seem to work with categorical variable interactions. Creating many dummy variables might be my last option...
Any thoughts? Thanks!

[xuyiqing]

Yes, you probably need to create those dummies. Note that including lots of controls will inevitably make the algorithm run more slowly.

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On Wed, Oct 14, 2020 at 8:28 AM ShunyuanZ ***@***.***> wrote: I have two categorial variables M1, M2, I wanted to add M1 * M2 as a control variable. Yet, it does not seem to work with categorical variable interactions. Creating many dummy variables might be my last option... Any thoughts? Thanks! — You are receiving this because you are subscribed to this thread. Reply to this email directly, view it on GitHub <#48>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AB2PKGCMD24QQJFVBO3C25DSKW7SLANCNFSM4SQYN2DQ> .

-- Yiqing Xu Assistant Professor Department of Political Science Stanford University http://yiqingxu.org/

[ShunyuanZ]

Yes, you probably need to create those dummies. Note that including lots of controls will inevitably make the algorithm run more slowly.
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On Wed, Oct 14, 2020 at 8:28 AM ShunyuanZ @.***> wrote: I have two categorial variables M1, M2, I wanted to add M1 * M2 as a control variable. Yet, it does not seem to work with categorical variable interactions. Creating many dummy variables might be my last option... Any thoughts? Thanks! — You are receiving this because you are subscribed to this thread. Reply to this email directly, view it on GitHub <#48>, or unsubscribe https://github.com/notifications/unsubscribe-auth/AB2PKGCMD24QQJFVBO3C25DSKW7SLANCNFSM4SQYN2DQ .
-- Yiqing Xu Assistant Professor Department of Political Science Stanford University http://yiqingxu.org/

Thanks! Will try. I tested it with M1*M2 but then got a error
"In chol.default(mat, pivot = TRUE, tol = tol) :
the matrix is either rank-deficient or indefinite"