PCDID: Stata module to perform principal components difference-in-differences

Marc Chan and Simon Sai Man Kwok

Statistical Software Components from Boston College Department of Economics

Abstract: pcdid implements factor-augmented difference-in-differences (DID) estimation. It is useful in situations where the user suspects that trends may be unparallel and/or stochastic among control and treated units. The data structure is similar to that in a DID setup. The estimation method is regression-based and can be considered as an extension of conventional DID regressions. pcdid also implements a parallel trend alpha test (based on an interactive effects structure) and a recursive procedure that determines the number of factors automatically.

Language: Stata
Requires: Stata version 14
Keywords: principal components; difference-in-differences; DID; parallel trends (search for similar items in EconPapers)
Date: 2021-02-16
Note: This module should be installed from within Stata by typing "ssc install pcdid". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/p/pcdid.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/p/pcdid.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/p/pdd.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/g/grtestsub.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/f/fproxy.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/t/tindex_pcdid.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/y/ycresid_pcdid.dta sample data file (application/x-stata)

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