Panel survey participation can bring about unintended changes in respondents’ behaviour and/or their reporting of behaviour. Using administrative data linked to a large panel survey, we analyse whether the survey brings about changes in respondents’ labour market behaviour. We estimate the causal effect of panel participation on the take‐up of federal labour market programmes by using instrumental variables. Results show that panel survey participation leads to an increase in respondents’ take‐up of these measures. These results suggest that panel survey participation not only affects the reporting of behaviour, as previous studies have demonstrated, but can also alter respondents’ actual behaviour.