Dear Statalist,
I am struggling with an endogenous treatment in a diff-in-diff model I am using (at the town level). Denoting Y the outcome, POST a dummy equal to 1 for the periods after treatment and TREAT a dummy equal to 1 if the town belongs to the treatment group, the diff-in-diff is therefore expressed as such:
Y = B0 + B1*POST + B2*TREAT + B3*POST_TREAT + u (and I am interested in B3, associated to the interaction between POST and TREAT, which gives the diff-in-diff estimator).
However TREAT is endogenous and I have an instrument for it (which is a "good" instrument that satisfies the conditions). I don't know actually how to implement this on Stata, with -ivreg2-, since the endogenous variable (TREAT) is interacted with POST. Let Z denote the instrument. Is the following code accurate?
ivreg2 Y POST (TREAT POST_TREAT = Z POST_Z)
Or should I only instrument POST_TREAT? As such:
ivreg2 Y POST TREAT (POST_TREAT = POST_Z)
Or only TREAT?
ivreg2 Y POST POST_TREAT (TREAT = Z)
I am a bit perplex since I have never used ivreg2 with two instruments, and do not even know if it is possible.
Thanks in advance for all your remarks!
Olivier
Related Posts with Instrumented diff-in-diff with ivreg2
Difficulty with for loop with a conditional by() statementHello, I am working with a data-set with analyst forecasts for certain firms, in a certain period. …
Measuring Overeducation with Marsh CPS DataDear all, i'm trying to compute the level of education to occupation mismatch for the individuals …
Understanding interactions between 2 multi-categorical variablesDear community, In an experiment I conducted where i implemented different gamification strategies …
How to count a variable based on an if conditionHello everyone, I have a big doubt about this counting issue: Array Let's suppose we have to coun…
Panel ARDL (PMG, MG, DFE) do fileHello All, I was wondering if you could help me with the do file for Panel ARDL (PMG, MG, DFE) I ne…
Subscribe to:
Post Comments (Atom)
0 Response to Instrumented diff-in-diff with ivreg2
Post a Comment