st: Propensity Score Matching fore time-varying treatments

[Luis Aguiar <stataluis@gmail.com>]

Dear stata users,

I am working with firm level data and want to estimate the impact of
participation in a given program on firm R&D. I want to use propensity
score matching in order to construct a proper control group and do a
simple diff-in-diff exercise. The particularity is that not all firms
enter the program in the same year. For example, firms from group A
may enter the program in 2000, firms from group B may enter it in
2001, and firms from group C may enter in 2002 (but each firm
participates only once). I therefore want to construct my control
group as follows:

1) For firms from group A: choose non-participating firms which, in
1999 (one year before firms from group A enters the program), are as
similar as possible as firms from group A in that same year.

2) For firms from group B: choose non-participating firms which, in
2000 (one year before firms from group B enters the program), are as
similar as possible as firms from group B in that same year.

3) For firms from group C: choose non-participating firms which, in
2001 (one year before firms from group C enters the program), are as
similar as possible as firms from group C in that same year.

What I did so far was to use the psmatch2 command by Leuven and
Sianesi (2003), and do the PSM separately for each year (i.e. running
PSMATCH2 separately for each of the steps 1), 2) and 3) above.) I
couldn’t find a way of doing the matching simultaneously for all
years, which would be much more convenient in order to test the
overall quality of the matching (balancing tests).  Does anyone know
if this is possible with PSMATCH2 or with any other command?

My approach may also be wrong, so any help would be greatly appreciated!

 I hope that my explanation is not too confusing!

 Best and thanks in advance,

Luis

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