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From |
Austin Nichols <austinnichols@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: Re: RE: st: Can I apply -treatreg- if the endogenous variable iscontinuous? |

Date |
Wed, 12 Aug 2009 14:54:00 -0400 |

To be perfectly clear: using -treatreg- when -ivregress- is the right approach is a bad idea. Period. clear all prog ftreat, rclass syntax [,Corr(real .5) z(real .8)] mat C=(1,0,0,0 \ 0,1,`corr',`z' \ 0,`corr',1,0 \ 0,`z',0,1 ) drawnorm x1 x2 e z, corr(C) n(1000) clear g y=1+x1+x2+e reg y x1 x2 ret scalar ols=_b[x2] ivregress gmm y x1 (x2=z) ret scalar iv=_b[x2] su x2, d g t=x2>r(p50) treatreg y x1,treat(t=z) ret scalar treat=_b[t]/normalden(0)/4 eret clear end simul, rep(100) seed(1):ftreat tw kdensity ols||kdensity iv||kdensity treat, xli(1) Even if -treatreg- is the right approach, using -ivregress- does not cost very much: clear all prog ftreat2, rclass syntax [,Corr(real .5) z(real .8)] mat C=(1,0,0,0 \ 0,1,`corr',`z' \ 0,`corr',1,0 \ 0,`z',0,1 ) drawnorm x1 x2 e z, corr(C) n(1000) clear g t=x2>0 g y=1+x1+t+e reg y x1 t ret scalar ols=_b[t] ivregress gmm y x1 (t=z) ret scalar iv=_b[t] probit t z predict that ivregress gmm y x1 (t=that) ret scalar ivt=_b[t] treatreg y x1,treat(t=z) ret scalar treat=_b[t] eret clear end simul, rep(100) seed(1):ftreat2 tw kdensity ols||kdensity iv||kdensity ivt||kdensity treat, xli(1) 2009/8/12 <gjhxmu@sina.com>: > Austin, thank you for your reply. > > I have ever seen this application, however I am not sure. I want to check it right or wrong. Thank you. > An additionally doubt is, > > treatreg y x1dum x2,treat(x1dum=z1 z2 z3 z4) > > In the above typing, can it be understood as z1 z2 z3 z4 are instruments for x1dum? > > Thank you. > > Best regards, > > Rose. > > > ----- Original Message ----- > From: Austin Nichols <austinnichols@gmail.com> > To: statalist@hsphsun2.harvard.edu > Subject: Re: RE: st: Can I apply -treatreg- if the endogenous variable iscontinuous? > Date: 2009-8-12 23:22:29 > > No, that does not sound appropriate. Why would you want to do that? > Is it because you have no candidates for excluded instruments and you > are hoping to identify off nonlinearities alone? In that case, you > would be better off in general ignoring the endogeneity problem than > adopting such a strategy. What you should do is find excluded > instruments and run -ivreg2- or -ivregress-. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**Re: Re: RE: st: Can I apply -treatreg- if the endogenous variable iscontinuous?***From:*gjhxmu@sina.com

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