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| From | Sjoerd van Bekkum <vanbekkum@ese.eur.nl> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| 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 <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 > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/