clear
tempname match
tempfile match_out
postfile `match' str12(method) true_effect est_effect using match_out, replace
local i 1
quietly while `i' < 201 { 
clear
drawnorm x1 x2 u, n(500) 
drawnorm e1 e0, corr(1, .25\.25, 1) 
local g 1
local r 1
gen y1 = 5 + 2*x1 - 2*x2 + e1
gen y0 = 2 + x1 - x2 + e0
gen tstar = -1.5 + `g'*x1 + `g'*`r'*(-1)*x2 + u
gen true_prop = normal(tstar-u)
gen t = tstar > 0
tab t
gen y = y1*(t) + y0*(1-t)
corr tstar x1 x2 y1 y0
gen t_effect = (y1-y0) - (e1-e0)
bysort t: sum t_effect true_prop y1 y0 e1 e0 tstar
sum t_effect if t == 1
local true_effect = r(mean)
reg y t x1 x2
post `match' ("OLS") (`true_effect') (_b[t])

gen goff = uniform()
sort goff
psmatch2 t, pscore(true_prop) outcome(y) noreplacement

post `match' ("TRUE PSCORE") (`true_effect') (r(att))

*Estimate propensity score model)

probit t x1 x2

matrix m = (_b[x1]^2, 0 \0,_b[x2]^2)

psmatch2 t, outcome(y) mahalanobis(x1 x2) w(`m') 
post `match' ("COV&PROP") (`true_effect') (r(att))

local i = `i' + 1
}

postclose `match'
use match_out, clear

collapse (mean) mean_effect = est_effect mean_true = true_effect (sd) sd_effect = est_effect , by(method)
gen var = sd_effect^2
gen bias = mean_effect - mean_true
gen mse = bias^2 + var