Dear Experts,
Sorry for bothering you. I have an issue with Propensity score matching. What I am doing is that I am matching each firm that had a cds initiation (1-initiated or 0-no) with a firm that has never experienced initiation. I insure that the sample of treated firms starts with the period of available info (min =2003q1) up until the first quarter of initiation. I insure that matched firm is of the same year and industry. For that, I use the following code:
egen industry_year=group(sic1 fdate)
probit cds x1 x2 x3... i.sic1 i.fdate, vce(cluster cusip61)
predict pscore if e(sample), pr
gen pscore2=industry_year*10+pscore
psmatch2 cds, pscore(pscore2) outcome(y) neighbor(1) caliper(0.2)
What I need is one-to-one matching. However, after I run this code what I have is that control firms are matched with many treated firms. Say treated firm A had initiation of CDS in 2004q1 and firm B in 2005q4. So, it finds a match for firm A and B = control firm C. Firm A (2004q1)= Firm C(2004q1) and Firm B (2005q4)= Firm C (2005q4). Or sometimes it even merges two firms with cds initiation say Firm A (2004q1) =Firm B (2004q1).
How can I cope with this issue?
Please, advise me this issue.
Best regards,
Alberto
Sorry for bothering you. I have an issue with Propensity score matching. What I am doing is that I am matching each firm that had a cds initiation (1-initiated or 0-no) with a firm that has never experienced initiation. I insure that the sample of treated firms starts with the period of available info (min =2003q1) up until the first quarter of initiation. I insure that matched firm is of the same year and industry. For that, I use the following code:
egen industry_year=group(sic1 fdate)
probit cds x1 x2 x3... i.sic1 i.fdate, vce(cluster cusip61)
predict pscore if e(sample), pr
gen pscore2=industry_year*10+pscore
psmatch2 cds, pscore(pscore2) outcome(y) neighbor(1) caliper(0.2)
What I need is one-to-one matching. However, after I run this code what I have is that control firms are matched with many treated firms. Say treated firm A had initiation of CDS in 2004q1 and firm B in 2005q4. So, it finds a match for firm A and B = control firm C. Firm A (2004q1)= Firm C(2004q1) and Firm B (2005q4)= Firm C (2005q4). Or sometimes it even merges two firms with cds initiation say Firm A (2004q1) =Firm B (2004q1).
How can I cope with this issue?
Please, advise me this issue.
Best regards,
Alberto
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