{smcl} {* *! version 1.1.1}{...} {title:Title} {phang} {bf:ecic} {hline 2} Executes estimation and inference for changes in changes at extreme quantiles. {marker syntax}{...} {title:Syntax} {p 4 17 2} {cmd:ecic} {it:Y} {it:G} {it:T} {ifin} [{cmd:,} {bf:q}({it:real})] {marker description}{...} {title:Description} {phang} {cmd:ecic} estimates quantile treatment effects (QTE) at extreme quantiles via changes in changes (CIC) based on {browse "https://doi.org/10.1080/07350015.2023.2249509":Sasaki and Wang (Forthcoming)}. The designed setting requires that all the units are untreated in the first period ({cmd:T}=0), all the units in the control group ({cmd:G=0}) remain untreated in the second period ({cmd:T}=1), and all the units in the treatment group ({cmd:G=1}) receive treatments in the second period ({cmd:T}=1). The command assumes repeated cross sections. {phang} To accommodate covariates, one can run preliminary regression of the outcome {it:Y} on covariates {it:X} within each ({it:G},{it:T}) pair. Replace {it:Y} by the residuals in the {cmd:ecic} command. This residualized procedure is theoretically supported by {browse "https://doi.org/10.1080/07350015.2023.2249509":Sasaki and Wang (Forthcoming; Sec. 6)}. {marker options}{...} {title:Option} {phang} {bf:q({it:real})} sets the quantile value. As an extremal quantile, it is natural to be set either below 0.05 or above 0.95. (A warning message shows up if q is set between 0.05 and 0.95.) The default value is {bf: q(0.99)}. {marker examples}{...} {title:Example} {phang}CIC estimation of the QTE at the 98th percentile with an outcome {cmd:Y}, a covariate {cmd:X}, control/treatment group indicator {cmd:G} = 0, 1, and time variable {cmd:T} = 0, 1: {phang}{cmd:. gen Y_resid = 0}{p_end} {phang}{cmd:. foreach g of numlist 0/1 {c -(}}{p_end} {phang}{cmd:. {space 1} foreach t of numlist 0/1 {c -(}}{p_end} {phang}{cmd:. {space 3} regress Y X if G==`g' & T==`t'}{p_end} {phang}{cmd:. {space 3} predict temp_Y_resid if G==`g' & T==`t', residuals}{p_end} {phang}{cmd:. {space 3} replace Y_resid = temp_Y_resid if G==`g' & T==`t'}{p_end} {phang}{cmd:. {space 3} drop temp_Y_resid}{p_end} {phang}{cmd:. {space 1} {c )-}}{p_end} {phang}{cmd:. {c )-}}{p_end} {phang}{cmd:. predict resid_Y, residuals}{p_end} {phang}{cmd:. ecic resid_Y G T, q(0.98)}{p_end} {marker stored}{...} {title:Stored results} {phang} {bf:ecic} stores the following in {bf:e()}: {p_end} {phang} Scalars {p_end} {phang2} {bf:e(N)} {space 10}observations {p_end} {phang2} {bf:e(n00)} {space 8}observations with {cmd:G} = 0 and {cmd:T} = 0 {p_end} {phang2} {bf:e(n01)} {space 8}observations with {cmd:G} = 0 and {cmd:T} = 1 {p_end} {phang2} {bf:e(n10)} {space 8}observations with {cmd:G} = 1 and {cmd:T} = 0 {p_end} {phang2} {bf:e(n11)} {space 8}observations with {cmd:G} = 1 and {cmd:T} = 1 {p_end} {phang2} {bf:e(k00)} {space 8}order statistics for {cmd:G} = 0 and {cmd:T} = 0 {p_end} {phang2} {bf:e(k01)} {space 8}order statistics for {cmd:G} = 0 and {cmd:T} = 1 {p_end} {phang2} {bf:e(k10)} {space 8}order statistics for {cmd:G} = 1 and {cmd:T} = 0 {p_end} {phang2} {bf:e(k11)} {space 8}order statistics for {cmd:G} = 1 and {cmd:T} = 1 {p_end} {phang2} {bf:e(q)} {space 10}quantile value {p_end} {phang} Macros {p_end} {phang2} {bf:e(cmd)} {space 8}{bf:ecic} {p_end} {phang2} {bf:e(properties)} {space 1}{bf:b V} {p_end} {phang} Matrices {p_end} {phang2} {bf:e(b)} {space 10}coefficient vector {p_end} {phang2} {bf:e(V)} {space 10}variance-covariance matrix of the estimator {p_end} {phang} Functions {p_end} {phang2} {bf:e(sample)} {space 5}marks estimation sample {p_end} {title:Reference} {p 4 8}Sasaki, Y. and Y. Wang. Extreme Changes in Changes. Journal of Business & Economic Statistics, Forthcoming. {browse "https://doi.org/10.1080/07350015.2023.2249509":Link to Paper}. {p_end} {title:Authors} {p 4 8}Yuya Sasaki, Vanderbilt University, Nashville, TN.{p_end} {p 4 8}Yulong Wang, Syracuse University, Syracuse, NY.{p_end}