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Re: st: Difference-in-Differences and Panel Data - In search of an adequate regression


From   Sjoerd van Bekkum <[email protected]>
To   "[email protected]" <[email protected]>
Subject   Re: st: Difference-in-Differences and Panel Data - In search of an adequate regression
Date   Wed, 2 Jan 2013 23:43:15 +0100

Hi Barbara,

Regardless of serial correlation issues (do you have 2 periods? or
more than 2?), you need time and group dummies to prevent your
interaction term being correlated with the error term. A good
introduction to the topic is in a working paper called "Endogeneity in
Corporate Finance" by Michael Roberts and Toni Whited.

---

Sjoerd van Bekkum
Assistant Professor of Finance, Erasmus University, Netherlands
W  http://people.few.eur.nl/vanbekkum/    P (+31)-10-4082114   F (+31)
10 - 40 89165



On 2 January 2013 21:49, Barbara Engels <[email protected]> wrote:
> Dear Stata people,
>
> I am currently working on a difference-in-differences model in its simplest form  - treatment and control group, pre- and post-intervention period.
> However, I got a large panel data set and I wonder what is the best way to estimate the DID in Stata to account for flaws like serial correlation.
> Should I go for a simple
>
> reg y x  incl. interaction term, ROBUST
>
> Or should I apply clustering?
> Or even xtreg with fe?
>
> Any help is greatly appreciated.
>
> Thanks a lot, happy 2013!
>
> Barbara
>
>
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