Ivtreatreg: a new STATA routine for estimating binary treatment models with heterogeneous response to treatment under observable and unobservable selection
This paper presents a new user-written STATA command called ivtreatreg for the estimation of five different (binary) treatment models with and without idiosyncratic (or heterogeneous) average treatment effect. Depending on the model specified by the user, ivtreatreg provides consistent estimation of average treatment effects both under the hypothesis of “selection on observables” and “selection on unobservables” by using Ordinary Least Squares (OLS) regression in the first case, and Intrumental-Variables (IV) and Selection-model (à la Heckman) in the second one. Conditional on a pre-specified subset of exogenous variables x – thought of as driving the heterogeneous response to treatment – ivtreatreg calculates for each model the Average Treatment Effect (ATE), the Average Treatment Effect on Treated (ATET) and the Average Treatment Effect on Non-Treated (ATENT), as well as the estimates of these parameters conditional on the observable factors x, i.e., ATE(x), ATET(x) and ATENT(x). The five models estimated by ivtreatreg are: Cf-ols (Control-function regression estimated by OLS), Direct-2sls (IV regression estimated by direct two-stage least squares), Probit-2sls (IV regression estimated by Probit and two-stage least squares), Probit-ols (IV two-step regression estimated by Probit and ordinary least squares), and Heckit (Heckman two-step selection model). An extensive treatment of the conditions under which previous methods provide consistent estimation of ATE, ATET and ATENT can be found, for instance, in Wooldgrige (2002, Chapter 18). The value added of this new STATA command is that it allows for a generalization of the regression approach typically employed in standard program evaluation, by assuming heterogeneous response to treatment.
|Length:||32 pages Keywords :Micro-econometrics, Treatment models, Instrumental variables, STATA routine|
|Date of creation:||Jun 2012|
|Contact details of provider:|| Postal: Via Real Collegio, 30 10024 - Moncalieri TO|
Web page: http://www.ircres.cnr.it/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Giovanni Cerulli, 2010. "Modelling and Measuring the Effect of Public Subsidies on Business R&D: A Critical Review of the Econometric Literature," The Economic Record, The Economic Society of Australia, vol. 86(274), pages 421-449, 09.
- Richard Blundell & Monica Costa Dias, 2009.
"Alternative Approaches to Evaluation in Empirical Microeconomics,"
Journal of Human Resources,
University of Wisconsin Press, vol. 44(3).
- Richard Blundell & Monica Costa Dias, 2002. "Alternative approaches to evaluation in empirical microeconomics," CeMMAP working papers CWP10/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Richard Blundell & Monica Costa Dias, 2008. "Alternative approaches to evaluation in empirical microeconomics," CeMMAP working papers CWP26/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Richard Blundell & Mónica Costa Dias, 2008. "Alternative Approaches to Evaluation in Empirical Microeconomics," CEF.UP Working Papers 0805, Universidade do Porto, Faculdade de Economia do Porto.
- Blundell, Richard & Costa Dias, Monica, 2008. "Alternative Approaches to Evaluation in Empirical Microeconomics," IZA Discussion Papers 3800, Institute for the Study of Labor (IZA).
- Lee, Myoung-jae, 2005. "Micro-Econometrics for Policy, Program and Treatment Effects," OUP Catalogue, Oxford University Press, number 9780199267699, April.
- Guido W. Imbens & Jeffrey M. Wooldridge, 2009. "Recent Developments in the Econometrics of Program Evaluation," Journal of Economic Literature, American Economic Association, vol. 47(1), pages 5-86, March.
- Guido Imbens & Jeffrey M. Wooldridge, 2008. "Recent developments in the econometrics of program evaluation," CeMMAP working papers CWP24/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Wooldridge, Jeffrey M. & Imbens, Guido, 2009. "Recent Developments in the Econometrics of Program Evaluation," Scholarly Articles 3043416, Harvard University Department of Economics.
- Imbens, Guido W. & Wooldridge, Jeffrey M., 2008. "Recent Developments in the Econometrics of Program Evaluation," IZA Discussion Papers 3640, Institute for the Study of Labor (IZA).
- Guido M. Imbens & Jeffrey M. Wooldridge, 2008. "Recent Developments in the Econometrics of Program Evaluation," NBER Working Papers 14251, National Bureau of Economic Research, Inc.
- Joshua D. Angrist, 1991. "Instrumental Variables Estimation of Average Treatment Effects in Econometrics and Epidemiology," NBER Technical Working Papers 0115, National Bureau of Economic Research, Inc.
- Cameron,A. Colin & Trivedi,Pravin K., 2005. "Microeconometrics," Cambridge Books, Cambridge University Press, number 9780521848053, January.
- Deborah A. Cobb-Clark & Thomas Crossley, 2003. "Econometrics for Evaluations: An Introduction to Recent Developments," The Economic Record, The Economic Society of Australia, vol. 79(247), pages 491-511, December.
- Sascha O. Becker & Andrea Ichino, 2002. "Estimation of average treatment effects based on propensity scores," Stata Journal, StataCorp LP, vol. 2(4), pages 358-377, November.
- Edwin Leuven & Barbara Sianesi, 2003. "PSMATCH2: Stata module to perform full Mahalanobis and propensity score matching, common support graphing, and covariate imbalance testing," Statistical Software Components S432001, Boston College Department of Economics, revised 02 May 2017. Full references (including those not matched with items on IDEAS)