EVENTSTUDYINTERACT: Stata module to implement the interaction weighted estimator for an event study

Liyang Sun

Statistical Software Components from Boston College Department of Economics

Abstract: To estimate the dynamic effects of an absorbing treatment, researchers often use two-way fixed effects (TWFE) regressions that include leads and lags of the treatment (event study specification). Units are categorized into different cohorts based on their initial treatment timing. Sun and Abraham (2020) proposes this estimator as an alternative to the TWFE regression in the presence of treatment effects heterogeneous across cohorts. Under treatment effects heterogeneity, the TWFE regression can result in estimates with uninterpretable weights, which can be assessed by the Stata module eventstudyweights. The IW estimator is implemented in three steps. First, estimate the interacted regression with reghdfe, where the interactions are between relative time indicators and cohort indicators. Second, estimate the cohort shares underlying each relative time. Third, take the weighted average of estimates from the first step, with weights set to the estimated cohort shares.

Language: Stata
Requires: Stata version 13 and avar, ftools and reghdfe from SSC (q.v.)
Keywords: event study; interactions; two-way fixed effects (search for similar items in EconPapers)
Date: 2021-08-04, Revised 2022-09-11
Note: This module should be installed from within Stata by typing "ssc install eventstudyinteract". 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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http://fmwww.bc.edu/repec/bocode/e/eventstudyinteract.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/eventstudyinteract.sthlp help file (text/plain)

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