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


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-.
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