I am using cross effect in OLS regression for a time series problem for a multivariate regression. I want to quote reference for use of cross effect. Secondly, I want to explain why better to use multiplication /product in regression rather than addition for calculation of cross effect. My regression equation is:
$Y=intercept+ ax_1 + bx_2 + a*bx_3$+error term
I need to see a reference for interaction based cross effect using multiplication to detail a regression effect in a volatility study. I hope you can understand and reply to my query.