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


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Difference-in-Differences and Panel Data - In search of an adequate regression
Date   Wed, 2 Jan 2013 20:03:09 -0500

Barbara Engels <engels.ba@gmail.com> :
You should certainly use cluster-robust SE to account for repeated
observations, but how could you include FE and a dummy for treatment
group? With a post dummy, and a treatment dummy, and the interaction,
there would be a severe perfect collinearity problem.

On Wed, Jan 2, 2013 at 3:49 PM, Barbara Engels <engels.ba@gmail.com> 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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