clear

set seed 123456789

set obs 1000

gen x = 5*invnorm(uniform())

gen u =   invnorm(uniform())

gen y = 1 + x + u

gen d=y>x

table d

gen d1=d

gen d2=1-d1

gen x1=d1*x

gen x2=d2*x

reg  y x1 x2

随便模拟的数据，程序结果如下

. clear

. set seed 123456789

. set obs 1000

obs was 0, now 1000

. gen x = 5*invnorm(uniform())

. gen u =   invnorm(uniform())

. gen y = 1 + x + u

. gen d=y>x

. table d

----------------------

d |      Freq.

----------+-----------

0 |        156

1 |        844

----------------------

.

. gen d1=d

. gen d2=1-d1

.

. gen x1=d1*x

. gen x2=d2*x

.

. reg  y x1 x2

Source |       SS       df       MS              Number of obs =    1000

-------------+------------------------------           F(  2,   997) =12762.53

Model |  25150.5031     2  12575.2516           Prob > F      =  0.0000

Residual |  982.369613   997   .98532559           R-squared     =  0.9624

-------------+------------------------------           Adj R-squared =  0.9623

Total |  26132.8727   999  26.1590318           Root MSE      =  .99264

------------------------------------------------------------------------------

y |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]

-------------+----------------------------------------------------------------

x1 |   .9986494   .0069737   143.20   0.000     .9849646    1.012334

x2 |     1.0133   .0143129    70.80   0.000     .9852135    1.041387

_cons |   1.017752   .0314014    32.41   0.000     .9561319    1.079373

------------------------------------------------------------------------------