I am trying to do PSM then DiD for panel data. However, when searching online, I mostly see the example for cross-sectional data using psmatch2 or teffects psmatch. I used to proposed to my professors that we can use two commonly-used approaches to convert panel data to cross-sectional data to deal with that problem (1) choosing the data of the year closest to the event date (2) getting average data of all years before event date.

However, my prof did not agree with that, they said that it may be suitable for a subsample test or extension, not for the main methodology because you cannot capture the difference in year, loss in information, standard error ,so on and so forth ...

I am wondering if there is any guidance or website that I can follow to run PSM for panel data.

  • 1
    $\begingroup$ There are a bunch of papers doing DiD with PSM, so definitely possible. Suggest you look into the literature and code documentation a bit deeper. Main thing to note is that you have to match on pre-trend characteristics (data from before the treatment in the DiD). $\endgroup$
    – BB King
    Mar 4, 2023 at 5:21


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