*! evstudydd: estimate event studies in D-i-D settings using the reghdfe or ppmlhdfe packages
*! It requires reghdfe and ppmlhdfe to be installed.
*! Version: February, 2025
*! Authors: Adrien Matray, Pablo E. Rodriguez
qui{
cap program drop evstudydd
program define evstudydd
version 13.0
syntax varlist(numeric min=2 max=2) [if] [in], Treated(name) SHOCKTime(string) Period(string) CLuster(string) FE(string) Name(string) [Weight(name)] [CONTrols(string)] ///
[Estimator(string)] [INTeraction(varname)]
* Add top-level preserve motivated by the creation of new variables and to avoid erasing already existing variables
preserve
* Temporarily capture variables from varlist
tokenize `varlist'
local Y `1'
local t `2'
* Validate options
if "`treated'" == "" {
di as err "You must specify a treated variable"
exit 198
}
if "`shocktime'" == "" {
di as err "You must specify the variable or numeric value for the time of the shock"
exit 198
}
if "`period'" == "" {
di as err "You must specify the period option in the format lower_bound upper_bound"
exit 198
}
if "`name'" == "" {
di as err "You must specify the name option to store .dta dataset"
exit 198
}
* Parse the period option
tokenize `period'
local before `1'
local after `2'
* Check if `shockperiod` is a variable or a number
capture confirm variable `shocktime'
if _rc == 0 {
local is_var = 1
}
else {
local is_var = 0
}
* Make sure no DiD_evstudydd variables are in the sample
cap drop DiD_evstudydd*
* Create coefficients
if `is_var' {
* If shocktime is a variable
gen DiD_evstudydd0 = (`t' < `shocktime' - `before') * (`treated' == 1)
if "`interaction'" != "" {
gen DiD_evstudydd0_int = DiD_evstudydd0 * `interaction'
}
local T = `before' + `after' + 1
forvalues time_evstudy = 1(1)`T' {
if `time_evstudy' != `before' + 1 {
qui gen DiD_evstudydd`time_evstudy' = (`t' == `shocktime' + `time_evstudy' - `before' - 1) * (`treated')
if "`interaction'" != "" {
qui gen DiD_evstudydd`time_evstudy'_int = DiD_evstudydd`time_evstudy' * `interaction'
}
}
}
gen DiD_evstudyddpost = (`t' > `shocktime' + `after') * (`treated')
if "`interaction'" != "" {
gen DiD_evstudyddpost_int = DiD_evstudyddpost * `interaction'
}
}
else {
* If shocktime is a number
local shockperiod_val = real("`shocktime'")
gen DiD_evstudydd0 = (`t' < `shockperiod_val' - `before') * (`treated')
if "`interaction'" != "" {
gen DiD_evstudydd0_int = DiD_evstudydd0 * `interaction'
}
local T = `before' + `after' + 1
forvalues time_evstudy = 1(1)`T' {
if `time_evstudy' != `before' + 1 {
qui gen DiD_evstudydd`time_evstudy' = (`t' == `shockperiod_val' + `time_evstudy' - `before' - 1) * (`treated')
if "`interaction'" != "" {
qui gen DiD_evstudydd`time_evstudy'_int = DiD_evstudydd`time_evstudy' * `interaction'
}
}
}
gen DiD_evstudyddpost = (`t' > `shockperiod_val' + `after') * (`treated')
if "`interaction'" != "" {
gen DiD_evstudyddpost_int = DiD_evstudyddpost * `interaction'
}
}
* Generate temporary variables for storing results
tempvar B_temp SE_temp TIME_temp B_int_temp SE_int_temp
* Estimate event study
if "`estimator'" == "" | "`estimator'" == "reghdfe" | "`estimator'" == "ols" {
* if weight is specified
if "`weight'" != "" {
if "`controls'" != "" {
reghdfe `Y' DiD_evstudydd* `controls' [aw = `weight'], a(`fe') vce(cluster `cluster') noconst
}
else {
reghdfe `Y' DiD_evstudydd* [aw = `weight'], a(`fe') vce(cluster `cluster') noconst
}
}
* if weight is not specified
if "`weight'" == "" {
if "`controls'" != "" {
reghdfe `Y' DiD_evstudydd* `controls', a(`fe') vce(cluster `cluster') noconst
}
else {
reghdfe `Y' DiD_evstudydd*, a(`fe') vce(cluster `cluster') noconst
}
}
}
if "`estimator'" == "ppmlhdfe" | "`estimator'" == "poisson" {
* Poisson estimators do not allow analytical weights
if "`weight'" != "" {
display in red "Poisson estimators do not allow analytical weights"
exit 198
}
* if weight is not specified
if "`weight'" == "" {
if "`controls'" != "" {
ppmlhdfe `Y' DiD_evstudydd* `controls', a(`fe') vce(cluster `cluster')
}
else {
ppmlhdfe `Y' DiD_evstudydd*, a(`fe') vce(cluster `cluster')
}
}
}
* Create dataset of results
qui gen double `TIME_temp' = -`before' - 1 if _n == 1
if "`interaction'" != "" {
* For cases with interaction, store both base and interaction coefficients
qui gen double `B_temp' = _b[DiD_evstudydd0] if _n == 1
qui gen double `SE_temp' = _se[DiD_evstudydd0] if _n == 1
qui gen double `B_int_temp' = _b[DiD_evstudydd0_int] if _n == 1
qui gen double `SE_int_temp' = _se[DiD_evstudydd0_int] if _n == 1
* Values from -k to k
forvalues time_evstudy = 1(1)`T' {
if `time_evstudy' != `before' + 1 {
qui replace `TIME_temp' = `time_evstudy' - `before' - 1 if _n == `time_evstudy' + 1
qui replace `B_temp' = _b[DiD_evstudydd`time_evstudy'] if _n == `time_evstudy' + 1
qui replace `SE_temp' = _se[DiD_evstudydd`time_evstudy'] if _n == `time_evstudy' + 1
qui replace `B_int_temp' = _b[DiD_evstudydd`time_evstudy'_int] if _n == `time_evstudy' + 1
qui replace `SE_int_temp' = _se[DiD_evstudydd`time_evstudy'_int] if _n == `time_evstudy' + 1
}
}
* Ref year not estimated
qui replace `TIME_temp' = 0 if _n == `before' + 2
qui replace `B_temp' = 0 if _n == `before' + 2
qui replace `SE_temp' = 0 if _n == `before' + 2
qui replace `B_int_temp' = 0 if _n == `before' + 2
qui replace `SE_int_temp' = 0 if _n == `before' + 2
* Adjust k+1 onward
qui replace `TIME_temp' = `after' + 1 if _n == `T' + 2
qui replace `B_temp' = _b[DiD_evstudyddpost] if _n == `T' + 2
qui replace `SE_temp' = _se[DiD_evstudyddpost] if _n == `T' + 2
qui replace `B_int_temp' = _b[DiD_evstudyddpost_int] if _n == `T' + 2
qui replace `SE_int_temp' = _se[DiD_evstudyddpost_int] if _n == `T' + 2
}
else {
* For cases without interaction
qui gen double `B_temp' = _b[DiD_evstudydd0] if _n == 1
qui gen double `SE_temp' = _se[DiD_evstudydd0] if _n == 1
* Values from -k to k
forvalues time_evstudy = 1(1)`T' {
if `time_evstudy' != `before' + 1 {
qui replace `TIME_temp' = `time_evstudy' - `before' - 1 if _n == `time_evstudy' + 1
qui replace `B_temp' = _b[DiD_evstudydd`time_evstudy'] if _n == `time_evstudy' + 1
qui replace `SE_temp' = _se[DiD_evstudydd`time_evstudy'] if _n == `time_evstudy' + 1
}
}
* Ref year not estimated
qui replace `TIME_temp' = 0 if _n == `before' + 2
qui replace `B_temp' = 0 if _n == `before' + 2
qui replace `SE_temp' = 0 if _n == `before' + 2
* Adjust k+1 onward
qui replace `TIME_temp' = `after' + 1 if _n == `T' + 2
qui replace `B_temp' = _b[DiD_evstudyddpost] if _n == `T' + 2
qui replace `SE_temp' = _se[DiD_evstudyddpost] if _n == `T' + 2
}
* Keep only necessary variables and save
if "`interaction'" != "" {
keep `TIME_temp' `B_temp' `SE_temp' `B_int_temp' `SE_int_temp'
keep if `TIME_temp' < .
rename `TIME_temp' time
rename `B_temp' B
rename `SE_temp' SE
rename `B_int_temp' B_int
rename `SE_int_temp' SE_int
}
else {
keep `TIME_temp' `B_temp' `SE_temp'
keep if `TIME_temp' < .
rename `TIME_temp' time
rename `B_temp' B
rename `SE_temp' SE
}
save "`name'", replace
* Restore user dataset
restore
end
}