This is known as a lateral hazard, it differs from a water hazard as you can drop on either side of the hazard. There are a couple of options;
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You would declare that ball lost and have to play another from the tee, there is a one shot penalty for losing your ball, so you are actually playing 3 off the tee.
When you lose a ball, you must go back to the place you played that shot from, that is why in this case you have to go back to the tee.
You can take a drop with a new ball (one shot penalty of course), but only if you or your playing partners saw the ball enter the hazard. However, if you cannot be sure the ball entered the hazard you have to go back to where you played the previous shot from, this will cost you a one shot penalty.