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  • DID with instrument and continuous treatment variable

    Hi,
    Is there a way to instrument a continuous treatment variable in DiD?
    I can only think of estimating a first stage separately and predicting the instrumented treatment to be used in DiD, but I know that this doesn't give accurate standard errors in the second stage.

    This is the code without instrumenting

    Code:
    reghdfe birthrate c.treatment##i.post treatment lpop, absorb(state post)
    Last edited by Abdelrahman Mokhtar; Today, 12:52.

  • #2
    for the interaction, control function might be best. straightforward if both continuous.

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