https://bbs.pinggu.org/thread-1412312-1-1.html
https://bbs.pinggu.org/thread-2467410-1-1.html

伍德里奇 《计量经济学导论》关于交互项的内容好好阅读以下，应该就比较清楚啦。
（ps ： 记得 @蓝色 版主在某一个帖子里把教材的相关页全贴出来了，楼主可以搜一下。。当然，最好直接看书）
good luck！

不是可以直接利用gen命令生成么？

我试了一下，stata是不是不支持*命令啊？
还有交叉项必须是虚拟变量吗？可不可以做类似1,2,3的分类变量啊？谢谢

谢谢谢谢~~

查看 factor variable的介绍

Title

    [U] 11.4.3 Factor variables


Description

    Factor variables are extensions of varlists of existing variables.  When a command allows factor variables,
    in addition to typing variable names from your data, you can type factor variables, which might look like

        i.varname

        i.varname#i.varname

        i.varname#i.varname#i.varname

        i.varname##i.varname

        i.varname##i.varname##i.varname

    Factor variables create indicator variables from categorical variables, interactions of indicators of
    categorical variables, interactions of categorical and continuous variables, and interactions of continuous
    variables (polynomials).  They are allowed with most estimation and postestimation commands, along with a
    few other commands.

    There are four factor-variable operators:

         Operator  Description
         ------------------------------------------------------------------------------------------------------
         i.        unary operator to specify indicators
         c.        unary operator to treat as continuous
         #         binary operator to specify interactions
         ##        binary operator to specify factorial interactions
         ------------------------------------------------------------------------------------------------------

    The indicators and interactions created by factor-variable operators are referred to as virtual variables.
    They act like variables in varlists but do not exist in the dataset.

    Categorical variables to which factor-variable operators are applied must contain nonnegative integers with
    values in the range 0 to 32,740, inclusive.

    Factor variables may be combined with the L. and F. time-series operators.


Remarks

    Remarks are presented under the following headings:

        Basic examples
        Base levels
        Selecting levels
        Applying operators to a group of variables


Basic examples

    Here are some examples of use of the operators:

         Factor            
         specification     Result
         ------------------------------------------------------------------------------------------------------
         i.group           indicators for levels of group

         i.group#i.sex     indicators for each combination of levels of group and sex, a two-way interaction

         group#sex         same as i.group#i.sex

         group#sex#arm     indicators for each combination of levels of group, sex, and arm, a three-way
                             interaction

         group##sex        same as i.group i.sex group#sex

         group##sex##arm   same as i.group i.sex i.arm group#sex group#arm sex#arm group#sex#arm

         sex#c.age         two variables -- age for males and 0 elsewhere, and age for females and 0 elsewhere;
                             if age is also in the model, one of the two virtual variables will be treated as a
                             base

         sex##c.age        same as i.sex age sex#c.age

         c.age             same as age

         c.age#c.age       age squared

         c.age#c.age#c.age age cubed
         ------------------------------------------------------------------------------------------------------


Base levels

    You can specify the base level of a factor variable by using the ib. operator.  The syntax is

           Base         
           operator(*)    Description
           ----------------------------------------------------------------------------------------------------
           ib#.           use # as base, #=value of variable
           ib(##).        use the #th ordered value as base (**)
           ib(first).     use smallest value as base (the default)
           ib(last).      use largest value as base
           ib(freq).      use most frequent value as base
           ibn.           no base level
           ----------------------------------------------------------------------------------------------------
            (*) The i may be omitted.  For instance, you may type ib2.group or b2.group.
           (**) For example, ib(#2). means to use the second value as the base.

    If you want to use group==3 as the base in a regression, you can type,

        . regress y  i.sex ib3.group

    You can also permanently set the base levels of categorical variables by using the fvset command.


Selecting levels

    You can select a range of levels -- a range of virtual variables -- by using the i(numlist). operator.

         Examples          Description
         ------------------------------------------------------------------------------------------------------
         i2.cat            a single indicator for cat==2

         2.cat             same as i2.cat

         i(2 3 4).cat      three indicators, cat==2, cat==3, and cat==4;
                             same as i2.cat i3.cat i4.cat

         i(2/4).cat        same as i(2 3 4).cat

         2.cat#1.sex       a single indicator that is 1 when cat==2 and sex==1, and is 0 otherwise

         i2.cat#i1.sex     same as 2.cat#1.sex
         ------------------------------------------------------------------------------------------------------


Applying operators to a group of variables

    Factor-variable operators may be applied to groups of variables by using parentheses.

    In the examples that follow, variables group, sex, arm, and cat are categorical, and variables age, wt, and
    bp are continuous:

         Examples                  Expansion
         ------------------------------------------------------------------------------------------------------
         i.(group sex arm)         i.group i.sex i.arm

         group#(sex arm cat)       group#sex group#arm group#cat

         group##(sex arm cat)      i.group i.sex i.arm i.cat group#sex group#arm group#cat

         group#(c.age c.wt c.bp)   i.group group#c.age group#c.wt group#c.bp

         group#c.(age wt bp)       same as group#(c.age c.wt c.bp)
         ------------------------------------------------------------------------------------------------------