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

Author

Listed:
  • Liyang Sun

    (MIT)

Programming Language

Stata

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.

Suggested Citation

  • Liyang Sun, 2021. "EVENTSTUDYINTERACT: Stata module to implement the interaction weighted estimator for an event study," Statistical Software Components S458978, Boston College Department of Economics, revised 11 Sep 2022.
    • Handle: RePEc:boc:bocode:s458978
    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.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/e/eventstudyinteract.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/e/eventstudyinteract.sthlp
    File Function: help file
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