STACKEDEV: Stata module to implement stacked event study estimator

Joshua Bleiberg (joshua_bleiberg@brown.edu)
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Joshua Bleiberg: Brown University

Statistical Software Components from Boston College Department of Economics

Abstract: stackedev implements the stacked event study estimator discussed in Cunningham (2021) and Baker (2021) and implemented in Cengiz et al. (2010). The package appends together individual datasets or stacks. Each stack includes all observations from a cohort of units that receive treatment in the same time period and all units that never received treatment. Effects are identified within each stack by comparing an individual cohort of treated units to never treated units. That approach avoids erroneous comparisons of late to early implementing units that may bias Two-Way Fixed Effects (TWFE) estimates if effects vary across treated cohorts (Goodman-Bacon, 2021). The stacked event study is estimated in three steps. First, individual stacks are created. Second, they are appended together. Finally the package estimates an event study via reghdfe that includes unit by stack fixed effects, time by stack fixed effects, and standard errors clustering on unit by stack.

Language: Stata
Requires: Stata version 13 and ftools, reghdfe, avar from SSC (q.v.)
Keywords: event study; treatment (search for similar items in EconPapers)
Date: 2021-12-20
Note: This module should be installed from within Stata by typing "ssc install stackedev". 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/s/stackedev.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/s/stackedev.ado program code (text/plain)

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