version 13
program define _eventivstatic, rclass
#d;
syntax varlist(fv ts numeric) [aw fw pw] [if] [in], /* Covariates go in varlist. Can add fv ts later */
Panelvar(varname) /* Panel variable */
Timevar(varname) /* Time variable */
POLicyvar(varname) /* Policy variable */
proxy (varlist numeric) /* Proxy variable(s) */
[
proxyiv(string) /* Instruments. Either numlist with lags or varlist with names of instrumental variables */
nofe /* No fixed effects */
note /* No time effects */
reghdfe /* Use reghdfe for estimation */
addabsorb(string) /* Absorb additional variables in reghdfe */
IMPute(string)
REPeatedcs /*data is repeated cross-sectional*/
STatic
*
]
;
#d cr
marksample touse
tempvar mkvarlist
qui gen byte `mkvarlist' = `touse'
tempvar kg tousegen
* kg grouped event time, grouping outside window
* For eventgenvars, ignore missings in varlist
mark `tousegen' `if' `in'
tempname delta Vdelta bb VV bb2 VV2 delta2 Vdelta2 deltay Vdeltay deltax Vdeltax deltaxsc bby bbx VVy VVx
* bb delta coefficients
* VV variance of delta coefficients
* bb2 delta coefficients for overlay plot
* VV2 variance of delta coefficients for overlay plot
* delta2 included cefficientes in overlaty plot
* VVdelta2 variance of included delta coefficients in overlay plot
loc i = "`panelvar'"
loc t = "`timevar'"
loc z = "`policyvar'"
*call _eventgenvars to impute z
if "`impute'"!="" {
*tempvar to be imputed
tempvar rr
qui gen double `rr'=.
_eventgenvars if `tousegen', panelvar(`panelvar') timevar(`timevar') policyvar(`policyvar') impute(`impute') `repeatedcs' `static' rr(`rr') mkvarlist(`mkvarlist')
loc impute=r(impute)
if "`impute'"=="." loc impute = ""
loc saveimp=r(saveimp)
if "`saveimp'"=="." loc saveimp = ""
*if imputation succeeded:
if "`impute'"!="" {
if "`saveimp'"=="" {
cap confirm variable `policyvar'_imputed
if !_rc {
di as err _n "`policyvar'_imputed already exists. Please rename it or delete it before proceeding."
exit 110
}
gen `policyvar'_imputed = `rr'
}
loc z = "`policyvar'_imputed"
else
}
else loc z = "`policyvar'"
}
*In the static setting, we cannot define an interval through the -window- option to look for the strongest lead. Therefore, we will check the dataset and look for the greatest possible lead. The maximum number of forwards I can generate equals the number of observed periods -1.
qui sum `timevar'
loc drange_1=r(max) - r(min) // this equals number of obs periods -1
* if dataset is repeated cross-sectional, create leads of policyvar at state level
if "`repeatedcs'"!=""{
qui {
preserve
tempfile state_level_leads
keep if `touse'
keep `panelvar' `timevar' (`z')
bysort `panelvar' `timevar' (`z'): keep if _n==1
xtset `panelvar' `timevar'
forv v=1(1)`drange_1'{
tempvar _fd`v'`z'
qui gen double `_fd`v'`z'' = f`v'.d.`z'
}
save `state_level_leads'
restore
*merge on the policyvar as well, so missing values in policyvar within a cell will not get lead values
merge m:1 `panelvar' `timevar' `z' using `state_level_leads', update nogen
}
}
loc leads : word count `proxy'
if "`proxyiv'"=="" & `leads'==1 loc proxyiv "select"
* If proxy specified but no proxyiv, assume numlist for leads of policyvar
if "`proxyiv'"=="" {
di _n "No proxy instruments specified. Using leads of policy variables as instruments."
loc leads : word count `proxy'
forv j=1(1)`leads' {
loc proxyiv "`proxyiv' `j'"
}
}
* IV selection if proxyiv = selection
else if "`proxyiv'"=="select" {
* Only for one proxy case
if `leads'>1 {
di as err "Proxy instrument selection only available for the one proxy - one instrument case"
exit 301
}
else {
di as text _n "proxyiv=select. Selecting lead order of differenced policy variable to use as instrument."
loc Fstart = 0
* originally: Here I test up to 5
forv v=1(1)`drange_1'{
if "`repeatedcs'"=="" {
tempvar _fd`v'`z'
qui gen double `_fd`v'`z'' = f`v'.d.`z' if `touse'
}
cap qui reg `proxy' `_fd`v'`z'' [`weight'`exp'] if `touse'
if !_rc loc Floop = e(F)
if `Floop' > `Fstart' {
loc Fstart = `Floop'
loc proxyiv "`v'"
}
}
di as text _n "Lead `proxyiv' selected."
}
}
* Parse proxyiv and generate leads if neccesary
loc rc=0
foreach v in `proxyiv' {
cap confirm integer number `v'
loc rc = `rc' + _rc
}
* If numlist take as leads of z
if `rc' == 0 {
loc insvars ""
foreach v in `proxyiv' {
if "`repeatedcs'"!=""{
qui gen double _fd`v'`z' = `_fd`v'`z'' if `touse'
}
else{
qui gen double _fd`v'`z' = f`v'.d.`z' if `touse'
}
*qui gen double _f`v'`z' = f`v'.`z' if `touse'
*loc insvars "`insvars' _f`v'`z'"
loc insvars "`insvars' _fd`v'`z'"
}
loc instype = "numlist"
}
else {
foreach v in `proxyiv' {
confirm numeric variable `v'
}
loc insvars = "`proxyiv'"
}
if "`te'" == "note" loc tte ""
else loc tte "i.`t'"
* Main regression
if "`reghdfe'"=="" {
if "`fe'" == "nofe" {
loc cmd "ivregress 2sls"
loc ffe ""
}
else {
loc cmd "xtivreg"
loc ffe "fe"
if "`repeatedcs'"!="" qui xtset `panelvar' //xtivreg requires panelvar to be setted
}
`cmd' `varlist' (`proxy' = `insvars') `z' `tte' [`weight'`exp'] if `touse' , `ffe' `options'
}
else {
loc noabsorb ""
*absorb nothing
if "`fe'" == "nofe" & "`tte'"=="" & "`addabsorb'"=="" {
*loc noabsorb "noabsorb"
/*the only option ivreghdfe inherits from reghdfe is absorb, therefore it doesn't support noabsorb. In contrast with reghdfe, ivreghdfe doesn't require noabsorb when absorb is not specified*/
loc abs ""
}
*absorb only one
else if "`fe'" == "nofe" & "`tte'"=="" & "`addabsorb'"!="" {
loc abs "absorb(`addabsorb')"
}
else if "`fe'" == "nofe" & "`tte'"!="" & "`addabsorb'"=="" {
loc abs "absorb(`t')"
}
else if "`fe'" != "nofe" & "`tte'"=="" & "`addabsorb'"=="" {
loc abs "absorb(`i')"
}
*absorb two
else if "`fe'" == "nofe" & "`tte'"!="" & "`addabsorb'"!="" {
loc abs "absorb(`t' `addabsorb')"
}
else if "`fe'" != "nofe" & "`tte'"=="" & "`addabsorb'"!="" {
loc abs "absorb(`i' `addabsorb')"
}
else if "`fe'" != "nofe" & "`tte'"!="" & "`addabsorb'"=="" {
loc abs "absorb(`i' `t')"
}
*absorb three
else if "`fe'" != "nofe" & "`tte'"!="" & "`addabsorb'"!="" {
loc abs "absorb(`i' `t' `addabsorb')"
}
*
else {
loc abs "absorb(`i' `t' `addabsorb')"
}
*analyze inclusion of vce in options
loc vce_y= strmatch("`options'","*vce(*)*")
*if user did not specify vce option
if "`vce_y'"=="0" {
ivreghdfe `varlist' (`proxy' = `insvars') `z' [`weight'`exp'] if `touse', `abs' `noabsorb' `options'
}
*if user did specify vce option
else {
*find start and end of vce text
loc vces=strpos("`options'","vce(")
loc vcef=0
loc ocopy="`options'"
while `vcef'<`vces' {
loc vcef=strpos("`ocopy'", ")")
loc ocopy=subinstr("`ocopy'",")", " ",1)
}
*substrac vce words
loc svce_or=substr("`options'",`vces',`vcef')
loc vce_len=strlen("`svce_or'")
loc svce=substr("`svce_or'",5,`vce_len'-5)
loc svce=strltrim("`svce'")
loc svce=strrtrim("`svce'")
*inspect whether vce contains bootstrap or jackknife
loc vce_bt= strmatch("`svce'","*boot*")
loc vce_jk= strmatch("`svce'","*jack*")
if `vce_bt'==1 | `vce_jk'==1 {
di as err "Options {bf:bootstrap} and {bf:jackknife} are not allowed"
exit 301
}
*if vce contains valid options, parse those options
*erase vce from original options
loc options_wcve=subinstr("`options'","`svce_or'"," ",1)
*** parse vce(*) ****
loc vce_wc=wordcount("`svce'")
tokenize `svce'
*extract vce arguments
*robust
loc vce_r= strmatch("`svce'","*robust*")
loc vce_r2=0
forv i=1/`vce_wc'{
loc zz= strmatch("``i''","r")
loc vce_r2=`vce_r2'+`zz'
}
if `vce_r'==1 | `vce_r2'==1 {
loc vceop_r="robust"
}
*cluster
loc vce_c= strmatch("`svce'","*cluster*")
loc vce_c2= strmatch("`svce'","*cl*")
if `vce_c'==1 | `vce_c2'==1 {
forv i=1/`vce_wc'{
loc vce_r2= strmatch("``i''","*cl*")
if `vce_r2'==1 {
loc j=`i'+1
}
}
loc vceop_c="cluster(``j'')"
}
ivreghdfe `varlist' (`proxy' = `insvars') `z' [`weight'`exp'] if `touse', `abs' `noabsorb' `options_wcve' `vceop_r' `vceop_c'
}
}
*clear xtset if repeatedcs and xtivreg, otherwise error message because timevar not setted
if ("`repeatedcs'"!="" & "`cmd'"=="xtivreg") qui xtset, clear
mat `bb' = e(b)
mat `VV' = e(V)
mat `delta'=e(b)
mat `Vdelta'=e(V)
* Drop variables
if "`instype'"=="numlist" {
foreach v in `proxyiv' {
*drop _f`v'`z'
drop _fd`v'`z'
}
}
if "`impute'"!="" & "`saveimp'"=="" drop `policyvar'_imputed
tokenize `varlist'
loc depvar "`1'"
return matrix b = `bb'
return matrix V = `VV'
return matrix delta = `delta'
return matrix Vdelta = `Vdelta'
loc names: subinstr global names ".." " ", all
loc names: subinstr local names `"""' "", all
return local names = "`names'"
return local cmd = "`cmd'"
return local depvar = "`depvar'"
end