*! xteventtest.ado 3.1.0 July 11, 2024
version 13
program define xteventtest, rclass
#d;
syntax,
[
coefs(numlist) /*Coefficients to test */
cumul /* Test sum of coefficients */
LINpretrend /* Test for linear pre-trend */
CONStanteff /* Test for constant effects */
TRend(numlist <0 integer min=1 max=1) /* Test significance of a linear trend from time a*/
overidpre(numlist >0 integer min=1 max=1) /* Test the leftmost coefficients as overid restriction */
overidpost(numlist >1 integer min=1 max=1) /* Test the rightmost coefficients as overid restriction */
overid /* Test overid restrictions from xtevent command */
allpre /* Test all pre-event coefficients */
allpost /* Test all post-event coefficients */
testopts(string) /* Options to be passed to -test- */
]
;
#d cr
tempname dim est
* Error checking
if "`coefs'"!="" & ("`linpretrend'"!="" | "`constanteff'"!="" | "`trend'"!="" | "`overidpre'"!="" | "`overidpost'"!="" | "`overid'"!="" | "`allpre'"!="" | "`allpost'"!="" ) {
di as err _n "option {bf:coefs} not allowed with options {bf:linpretrend}, {bf:constanteff}, {bf:trend}, {bf:overidpre}, {bf:overidpost}, {bf:overid}, {bf:allpre}, or {bf:allpost}"
exit 301
}
if "`cumul'"!="" & ("`linpretrend'"!="" | "`constanteff'"!="" | "`trend'"!="" | "`overidpost'"!="" | "`overid'"!="") {
di as err _n "option {bf:cumul} not allowed with options {bf:linpretrend}, {bf:constanteff}, {bf:trend}, {bf:overidpost}, or {bf:overid}"
exit 301
}
if "`linpretrend'"!="" & ("`constanteff'"!="" | "`trend'"!="" | "`overidpre'"!="" | "`overidpost'"!="" | "`overid'"!="" | "`allpre'"!="" | "`allpost'"!="") {
di as err _n "option {bf:linpretrend} not allowed with options {bf:constanteff}, {bf:trend}, {bf:overidpre}, {bf:overidpost}, {bf:overid}, {bf:allpre}, or {bf:allpost}"
exit 301
}
if "`constanteff'"!="" & ("`trend'"!="" | "`overidpre'"!="" | "`overidpost'"!="" | "`overid'"!="" | "`allpre'"!="" | "`allpost'"!="" ) {
di as err "option {bf:constanteff} not allowed with options {bf:trend}, {bf:overidpre}, {bf:overidpost}, {bf:overid}, {bf:allpre}, or {bf:allpost}"
exit 301
}
if "`trend'"!="" & ("`overidpre'"!="" | "`overidpost'"!="" | "`overid'"!="" | "`allpre'"!="" | "`allpost'"!="") {
di as err _n "option {bf:trend} not allowed with options {bf:overidpre}, {bf:overidpost}, {bf:overid}, {bf:allpre}, or {bf:allpost}"
exit 301
}
if "`overidpre'"!="" & ("`overid'"!="" | "`allpre'"!="" | "`allpost'"!="" ) {
di as err _n "option {bf:overidpre} not allowed with options {bf:overid}, {bf:allpre}, or {bf:allpost}"
exit 301
}
if "`overidpost'"!="" & ("`overid'"!="" | "`allpre'"!="" | "`allpost'"!="" ) {
di as err _n "option {bf:overidpost} not allowed with options {bf:overid}, {bf:allpre}, or {bf:allpost}"
exit 301
}
loc names = e(names)
*if previous trend adjustment, remove the endpoints from the stored list of event-time dummy variables
if "`=e(trend)'"=="trend"{
loc lendp "_k_eq_m`=-`=`e(lwindow)'-1''"
loc rendp "_k_eq_p`=`e(rwindow)'+1'"
loc names: subinstr local names "`lendp'" "", all
loc names: subinstr local names "`rendp'" "", all
}
* Turn overid into overidpre and overidpost
if "`overid'"!="" {
if e(pre)==. {
* Default: All pre, two last
loc i=0
foreach w in `names' {
loc wordp: subinstr local w "_k_eq_p" "", all
if "`wordp'"!="`w'" continue
loc ++i
}
loc overidpre = `i'
loc wordt: word count `names'
loc overidpost = 2
}
else {
loc overidpre=e(overidpre)
loc overidpost=e(overidpost)+1
}
}
*Change the coefficients to test pretrends if there was trend adjustment with ols method and requested number of coefficients is greater than the number of available ones.
if "`=e(trendmethod)'"=="ols" & ("`overid'"!="" | "`overidpre'"!="") {
*number of available pre-event coefficients
loc j=0
foreach w in `names' {
if regexm("`w'","_k_eq_m") loc ++j
}
if `j' == 0 {
di as err _n "Cannot test pretrends if there are 0 available pre-event coefficients after trend adjustment with OLS method."
exit 103
}
loc checkadj = 0
if "`overid'"!="" & `overidpre'>`j' {
di as text _n "{bf:overidpre} value from {cmd: xtevent} is `e(overidpre)', but available pre-event coefficients are {bf:`j'} after trend adjustment with OLS method."
loc checkadj 1
}
if "`overidpre'"!="" & "`overid'"=="" & `overidpre'>`j'{
di as text _n "You requested pretrend test with the first {bf:`overidpre'} coefficients, but there are only {bf:`j'} available pre-event coefficients after trend adjustment with OLS method."
loc checkadj 1
}
if `checkadj'==1 {
di as text _n "The pretrend test will account only the {bf:`j'} available pre-event coefficients."
loc overidpre=`j'
}
}
* If overidpre, take the earlier coefs
if "`overidpre'"!="" {
di as txt _n "Overidentification test for pretrends: `overidpre' pre-event coefficients are 0"
loc c ""
forv i=1(1)`overidpre' {
loc cplus: word `i' of `names'
loc c "`c' `cplus'"
if "`overid'"!="" loc cpre "`c'"
}
loc cbreak: subinstr local c "_p" "", all
if "`c'"!="`cbreak'" {
di as err _n "Cannot test more pre-event coefficients than were estimated"
exit 199
}
if "`c'"=="" {
di as err _n "No pre-event coefficients to test"
exit 199
}
}
* If overidpost, take the latter coefs and test equality
if "`overidpost'"!="" {
di as txt _n "Overidentification test for effects leveling off: `overidpost' last post-event coefficients are equal"
* allow overidpre here
if "`overidpre'"=="" loc c ""
else loc c "(`c')"
loc cplus ""
loc wordt: word count `names'
forv i=1(1)`overidpost' {
loc cadd: word `=`wordt'-`i'+1' of `names'
loc cplus "`cplus' `cadd'"
}
loc cplus = strltrim("`cplus'")
loc cplus : subinstr local cplus " " "=", all
if "`overid'"!="" loc cpost "`cplus'"
if "`overidpre'"!="" loc cplus "(`cplus')"
loc c "`c' `cplus'"
loc cbreak: subinstr local cplus "_m" "", all
if "`cplus'"!="`cbreak'" {
di as err _n "Cannot test more post-event coefficients than were estimated"
exit 199
}
if "`cplus'"=="" {
di as err _n "No post-event coefficients to test"
exit 199
}
}
* Check that coefs were estimated and gather
if "`coefs'"!="" {
loc c ""
foreach j in `coefs' {
if `j'<0 {
loc jj = abs(`j')
loc cplus "_k_eq_m`jj'"
}
else if `j'>=0 loc cplus "_k_eq_p`j'"
loc match = 0
foreach name in `names' {
if "`cplus'"=="`name'" loc ++ match
}
if `match'!=0 {
loc c "`c' `cplus'"
}
else {
di as err _n "Coefficient for event-time `j' not found"
exit 301
}
}
}
* Gather pre estimates if all pre
if "`allpre'"=="allpre" {
di as txt _n "Test for all pre-event coefficients = 0"
loc c ""
foreach j in `names' {
loc sub : subinstr local j "_k_eq_m" "", all
if "`sub'"!="`j'" loc c "`c' `j'"
}
}
* Gather post estimates if all post
if "`allpost'"=="allpost" {
di as txt _n "Test for all post-event coefficients = 0"
* Allow allpre combination
if "`allpre'"!="allpre" loc c ""
foreach j in `names' {
loc sub : subinstr local j "_k_eq_p" "", all
if "`sub'"!="`j'" loc c "`c' `j'"
}
}
* Gather post estimates with equal signs if constanteff
if "`constanteff'"=="constanteff" {
loc c ""
di as txt _n "Test for constant post-event coefficients"
foreach j in `names' {
loc sub : subinstr local j "_k_eq_p" "", all
if "`sub'"!="`j'" loc c "`c' `j'"
}
loc c = strltrim("`c'")
loc c : subinstr local c " " "=", all
}
* Accumulate if cumul
if "`cumul'"=="cumul" {
di as txt _n "Test sums of coefficients"
loc c: subinstr local c " " "+",all
loc c=substr("`c'",2,.)
loc c = "`c' = 0"
}
* Linear pre-trend specification test
if "`linpretrend'"!="" {
loc tt ""
foreach j in `names' {
loc sub : subinstr local j "_k_eq_m" "", all
if "`sub'"!="`j'" loc tt "`tt' `j'"
}
loc d : word count `tt'
scalar `dim' = `d'
if `dim'<2 {
di as err _n "Cannot test linear pre-trend with less than 2 pre-event coefficients"
exit 199
}
mata: trendtest("`dim'")
* scalar li Q
loc df = `dim' - 2
loc p = chi2tail(`df',Q)
loc df: di %3.0f `df'
loc q : di %8.2f `=Q'
loc p: di %8.4f `p'
di as txt _n "Specification test for linear pre-trend"
di as txt _col(12) "chi2(`df') =" as res `q'
di as txt _col(10) "Prob > chi2 =" as res `p'
}
* Trend test
if "`trend'"!="" {
loc trend "trend(`trend', method(ols))"
loc cmd = e(cmdline)
loc cmd = regexr("`cmd'","trend\(.*\)","")
_estimates hold `est'
*di as txt _n "Estimating trend using {cmd:xtevent, trend(, method(ols))}"
di as txt _n "Estimating trend by OLS"
qui `cmd' `trend'
di as txt _n "Significance test for linear trend"
test _ttrend
_estimates unhold `est'
}
* Test
if "`overid'"!="" {
di as txt _n "Overidentification test for pretrends: `overidpre' pre-event coefficients are 0"
test `cpre', `testopts'
returntest pre
return add
di as txt _n "Overidentification test for effects leveling off: `overidpost' last post-event coefficients are equal"
test `cpost', `testopts'
returntest post
return add
di as txt _n "Joint overidentification test"
test (`cpre') (`cpost'), `testopts'
returntest prepost
return add
}
else {
if "`c'"!="" test `c', `testopts'
return add
}
end
program define returntest, rclass
args stub
foreach x in p F df_r chi2 ss rss drop {
if r(`x')!=. return scalar `stub'_`x' = r(`x')
}
end
mata:
mata clear
void trendtest(dim)
{ real matrix b,V,Vinv,X,ab,eta
real scalar Q
dim=st_numscalar(dim)
b=st_matrix("e(b)")'[1..dim,1]
V=st_matrix("e(V)")[1..dim,1..dim]
Vinv=cholinv(V)
X = (J(dim,1,1),range(1,dim,1))
ab = cholinv(X'*Vinv*X)*(X'*Vinv*b)
eta = b - (X*ab)
Q = eta'*Vinv*eta
st_numscalar("Q",Q)
}
end