EVENTCOEFPLOT: Stata module to produce advanced event-study graphical analysis

Matteo Pinna ()

Statistical Software Components from Boston College Department of Economics

Abstract: eventcoefplot runs regressions and generates graphs for event-study analysis, with extensive options for multiple specifications comparison, and specification and sample robustness checks. In the context of event-studies, researchers are often in need of comparing specifications varying the choice of controls, fixed effects or clustered standard errors. Eventcoefplot offers an easy way to compare up to three specifications, furthermore: the multitest option allows to compare any number of groups of controls by including one group at the time; the leaveoneouttest option allows to check for estimates robustness by leaving out one control at the time; the tuplestest option checks that results are robust to including any tuples of a set of controls and finally the perturbationtest option checks that results are not driven by specific sub-samples, by singularly dropping all different values of the indicated variable. The perturbationtest includes a Diagnostics Table of the heterogeneity of results across subsamples, e.g. the Minimum Perturbation: the minimum sample drop that changes at least one estimate's significance/sign.

Language: Stata
Requires: Stata version 15
Keywords: graphics; event studies; robustness checks (search for similar items in EconPapers)
Date: 2021-05-16, Revised 2021-06-24
Note: This module should be installed from within Stata by typing "ssc install eventcoefplot". 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/e/eventcoefplot.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/eventcoefplot.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/e/example_eventcoefplot.do sample do-file (text/plain)

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