Hi all,
I'm trying to estimate the Wald-DID below:
where time (pre/post), intervention (0=Control, 1=Treatment 1, 2=Treatment 2) and instrument (indicating whether the treatment was actually administered for non-attriters, 0 "Control" 1 ="Treatment 1", 2="Treatment 2") are categorical variables. However, I am not able to run the regression as "instrumental variable equation not identified; must have at least as many instruments not in the regression as there are instrumented variables". After digging a little, it appears that two variables were dropped, due to collinearity: 3.instrument and 1.time#3.instrument
I tested for collinearity using the code below, but am struggling to understand what the next steps would be. Any suggestions would be more than welcome.
where timeXtreatment=i.time*i.treatment and timeXinstrument=i.time*i.instrument
Thank you
I'm trying to estimate the Wald-DID below:
Code:
svy: ivregress 2sls OUTCOMEVAR i.time (i.treatment i.time#i.treatment = i.instrument i.time#i.instrument)
Code:
version 15: _rmcoll 0b.treatment 1.treatment 3.treatment 0b.time#0b.treatment 0b.time#1o.treatment 0b.time#3o.treatment 1o.time#0b.treatment 1.time#1.treatment 1.time#3.treatment 0b.time 1.time 0b.instrument 1.instrument 3.instrument 0b.time#0b.instrument 0b.time#1o.instrument 0b.time#3o.instrument 1o.time#0b.instrument 1.time#1.instrument 1.time#3.instrument, noconstant expand
Code:
xi: collin i.treatment i.time i.timeXtreatment i.instrument i.timeXinstrument
Thank you
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