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  • Creating Independent Dummy Variable based on Dependent Variable

    I am estimating the effect of a goverment policy on labor supply (working hours) using two-way fixed effects. The estimate does not come as expected. When I add in the equation an independent dummy variable (created based on the dependent variable), the estimate sounds more reasonable and significant. In particular, the dummy is 1 if the working hours are above the median and 0 if below the median.
    I am thinking about the alternative in which I will instead include an interaction between the dummy and my main indepedent variable (treatment). In this case, I would say about the reason to include this interaction is that there could be differences in response to the treatment between 2 groups above and below the median.
    I wonder whether they are statistically viable methods and whether do they make sense?

  • #2
    Generally speaking, including things from the left hand side of the equal side on the right hand side is quite dangerous.

    In your place, I would run a quantile regression

    The Stata command (potentially from SSC, unsure) is sqreg

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