[PDF] csdid: Difference-in-Differences with Multiple Time Periods in Stata





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Difference-in-Differences in Stata 17

16 juin 2021 Two-way fixed effects also known as generalized DID (default). Allows 2x2 design. Provides a wide range of standard errors.



Differences-in-Differences

Difference in differences (DID) The coefficient for 'did' is the differences-in-differences estimator. ... The command diff is user-defined for Stata.



Differences-in-Differences (using Stata)

Differences-in-Differences. (using Stata) Difference in differences (DID) ... The coefficient for 'did' is the differences-in-differences estimator.



Simplifying the estimation of difference in differences treatment

22 janv. 2013 Propensity Score (Heckman et al. 1997



Diff: Simplifying the Estimation of Difference-in-differences

12 mars 2014 Although the latest version of Stata is equipped with the command teffects which estimates the treatment effects on a cross-sectional basis



Difference-in-differences

1 mars 2018 Regression Discontinuity. • Today we'll focus on difference-in-differences. – Reminder on basic concepts/theory. – Applications in Stata.



Bacon decomposition for understanding differences-in-differences

differences-in-differences with variation in treatment timing. July 11 2019. Stata Conference. Andrew Goodman-Bacon (Vanderbilt University).



csdid: Difference-in-Differences with Multiple Time Periods in Stata

Today's talk is all about how to implement it with our Stata command csdid. 5. Page 9. Framework and Assumptions. Page 10 



Stata Tutorial

Do-files are ASCII files that contain of Stata commands to run specific procedures. used to indicate a significant difference (some use ±3).



Module 2.5: Difference-in-Differences Designs

? Nous ne reproduirons qu'une partie du code STATA ci-dessous ; veuillez vous référer au fichier DO pour le code complet et les notes accompagnées. ? Ouvrez le jeu de données et



Title statacom didregress — Difference-in-differences estimation

These two differences give theDIDmethod its name and highlight its intuitive appeal More appealing is the fact that you can get the effect of interest theATET from one parameter in a linear regression Below we illustrate how to use didregress and xtdidregress For more information about the methods used below see[TE]DID intro



(v 33) - Princeton University

This document shows how to perform difference-in-differences regression in the following two situations: Event happened at the same time for all treated groups Event is staggered across groups Event happens at the same time for all treated groups Data preparation The before/after variable Create an indicator variable where:



Introduction to Difference in Differences (DID) Analysis

• Difference-in-Differences (DID) analysis is a useful statistic technique that analyzes data from a nonequivalence control group design and makes a casual inference about an independent variable (e g an event treatment or policy) on an outcome variable • The analytic concept of DID is very easy to comprehended within the framework



Diff: simplifying the causal inference analysis with - Stata

Difference in differences Quantile Kernel PSM Diff-in-diff diff fte t(treated) p(t) qdid(0 50) cov(bk kfc roys) kernel id(id) *** KERNEL PROPENSITY SCORE MATCHING QUANTILE DIFFERENCE-IN-DIFFERENCES *** Number of observations: 801 Baseline Follow-up Control: 78 77 155 Treated: 326 320 646



Searches related to difference in difference stata tutorial PDF

differencesestimator(‘did’inthepreviousexample) Theeffect is significantat10 withthetreatmenthavinganegativeeffect 4 The ssc Type singthecommanddiff commanddiffisuser?definedforStata Toinstalltype Dummies for treatmentand time seepreviousslide installdiff diffyt(treated)p(time)NumberofobservationsintheDIFF-IN-DIFF:70 BaselineFollow-up

Does Stata work in Windows?

A separate manual (Graphics) is devoted to the topic only. Since STATA works in a Windows format, it allows you to cut and paste the data into other Windows-based program, such as Word or WordPerfect. Finally, there is a warning about the limitations of this tutorial.

How do you transform variables in Stata?

In STATA you transform variables by using the “gen” (as in generate) command. For example, Chapter 8 of the Stock/Watson textbook introduces the polynomial regression model, logarithms, and interactions between variables. Let us reproduce Equations (8.2), (8.11), (8.18), and (8.37) here. The following commands generate the necessary variables2:

How do I order Stata?

Perhaps the most useful of these are the User’s Guide and the Base Reference Manuals. You can order STATA by calling (800) 782-8272 or writing to service@stata-press.com. In addition, if you purchase the Student Version, you can acquire STATA at a steep discount.

What does VCE do in Stata?

The command vce asks STATA to print out the estimated variances and covariances of the estimated regression coefficients. The command gets STATA to carry out the joint test that the coefficients on str and expn_stu are both equal to zero. 2) The second new command is in the analysis of Table 7.1 on page 224 of Stock and Watson (2018).

csdid: Difference-in-Differences with Multiple Time

Periods in StataFernando Rios-Avila

Levy Economics InstituteBrantly Callaway

University of GeorgiaPedro H. C. Sant"Anna

Microsoft and Vanderbilt UniversityStata Conference, August 2021

Big shout-out

This pro jectw ouldnot ha vereach its current point without the help and push of many.

Special thanks goes to

A ustinNichols (Abt Associates)

Enr iquePinzón (Stata Cor p)

Asjad Naqvi (Inter nationalInstitute f orApplied Systems Analysis) 1

Big Picture

Big Picture: Problems of common practice - I

Conside ra setup with variation in treatment timingandheterogeneous treatment effects. Researche rsroutinely inter pretbTWFEassociated with the TWFE specification Y i,t=ai+at+bTWFEDi,t+#i,t, as "a causal parameter of interest". Ho wever,bTWFEis not guaranteed to recover an interpretable causal parameter(Borusyak and Jaravel, 2017;de Chaisemar tinand D"Haultfoeuille, 2020 ;

Goodman-Bacon, 2021

2

Big Picture: Problems of common practice - II

Research ersalso routinely consider "dynamic" v ariationsof the TWFE specification, Y i,t=ai+at+gK kDLi,t+#i,t with the event study dummiesDki,t=1ftGi=kg, whereGiindicates the period unitiis first treated (Group). •Dki,tis an indicator for unitibeingkperiods away from initial treatment at time t.

Sun and Abr aham(2020

) demonstrated the the g"s cannot be rigorously interpreted as reliable measures of "dynamic treatment effects" 3

The heart of the drawbacks

The he artof the these prob lemswith these TWFE specifications is that OLS is "variational hungry". OLS a ttemptsto compare all cohor tswith each other ,as long as there is "variation in treatment status" in that given time-window. It doesn"t care about "treatment" and "compar ison"g roups.

It is all about minimizing MSE.

•Causal inference is about only exploiting the good variation, i.e., those that respect our assumptions. 4

How to tackle the problems?

With this insight in mind, it is clear what w eneed to do . W enee dto enf orcethat our estimation and inf erenceprocedure use the

variations that we want it use.•Calla wayan dSant"Anna (2020 ) propose atransparentway to proceed with

this insight in DiD setups with multiple time periods. T oday"st alkis all about ho wto implement it with our Stata command, csdid.5

How to tackle the problems?

With this insight in mind, it is clear what w eneed to do . W enee dto enf orcethat our estimation and inf erenceprocedure use the

variations that we want it use.•Calla wayan dSant"Anna (2020 ) propose atransparentway to proceed with

this insight in DiD setups with multiple time periods. T oday"st alkis all about ho wto implement it with our Stata command, csdid.5

Framework and Assumptions

Framework

•csdidaccommodates both panel data and repeated cross section data. F orsimpli city,I"ll f ocuson the panel data case .

Consider a r andomsample

f i=1 whereDi,t=1 if unitiis treated in periodt, and 0 otherwise •Gi,g=1 if unitiis first treated at timeg,and zero otherwise ("Treatment starting-time / Cohort dummies" ) •C=1 is a "never-treated" comparison group (not required, though) Stagg eredtreatment adoption: Di,t=1=)Di,t+1=1,for t=1,2,...,T.6

Framework (cont.)

Limited T reatmentAnticipation: There is a kno wnd0 s.t.

E[Yt(g)jX,Gg=1] =E[Yt(0)jX,Gg=1]a.s..

for allg2 G,t21,...,Tsuch thattP arameterof interest: ATT (g,t)=E[Yt(g)Yt(0)jGg=1],for tg. Average treatment effect for the group of units first treated at time periodg, in calendar timet. 8 Parallel trend assumption based on a "never treated" group Assumption (Conditional Parallel Trends based on a "never-treated" group)

For each t2f2,...,Tg, g2 Gsuch that tg,

E[Yt(0)Yt1(0)jX,Gg=1] =E[Yt(0)Yt1(0)jX,C=1]a.s..9

Parallel Trends based on not-yet treated groups

Assumption (Conditional Parallel Trends based on "Not-Yet-Treated"

Groups)For each

(s,t)2f2,...,Tgf2,...,Tg, g2 Gsuch that tg, st E[Yt(0)Yt1(0)jX,Gg=1] =E[Yt(0)Yt1(0)jX,Ds=0,Gg=0]a.s..10

Recovering the ATT(g,t)"s

What if the identifying assumptions hold unconditionally? In th ecase where co variatesdo not pla ya major role into the DiD identification analysis, and one is comfortable using the "ne vertreated" as comparison group, ATT nevunc(g,t)= E[YtYg1jGg=1]E[YtYg1jC=1].

If one pref ersto use the

"not-y ettreated" as compar isong roups, ATT nyunc(g,t)= E[YtYg1jGg=1]E[YtYg1jDt=0,Gg=0].•Estimat ion:use the analogy pr inciple!

Inf erence:man ycompar isonsof means!

11 What if the identifying assumptions hold unconditionally? In th ecase where co variatesdo not pla ya major role into the DiD identification analysis, and one is comfortable using the "ne vertreated" as comparison group, ATT nevunc(g,t)= E[YtYg1jGg=1]E[YtYg1jC=1].

If one pref ersto use the

"not-y ettreated" as compar isong roups, ATT nyunc(g,t)= E[YtYg1jGg=1]E[YtYg1jDt=0,Gg=0].•Estimat ion:use the analogy pr inciple!

Inf erence:man ycompar isonsof means!

11 Identification results - never treated as comparison group When co variatespla yan impor tantrole and w euse the "ne vertreated" units as comparison group,

Calla wayand Sant"Anna (2020

) show you can use three estimation methods: OR, IPW or DR (AIPW).

Here w esho wthe AIPW/DR estimand:

ATT nevdr(g,t)=E2 6 640
B B@G gE [Gg]p g(X)C1pg(X)E pg(X)C1pg(X)1 C

CAYtYg1mnevg,t(X)3

7 75.
wheremnevg,t(X)=EYtYg1jX,C=1.

Extend s

Hec kman,Ichim uraand T odd(1997

Abadie (2005

Sant"Anna and

Zhao (2020

12 Identification results - never treated as comparison group When co variatespla yan impor tantrole and w euse the "ne vertreated" units as comparison group,

Calla wayand Sant"Anna (2020

) show you can use three estimation methods: OR, IPW or DR (AIPW).

Here w esho wthe AIPW/DR estimand:

ATT nevdr(g,t)=E2 6 640
B B@G gE [Gg]p g(X)C1pg(X)E pg(X)C1pg(X)1 C

CAYtYg1mnevg,t(X)3

7 75.
wheremnevg,t(X)=EYtYg1jX,C=1.

Extend s

Hec kmanet al. (1997

Abadie (2005

Sant"Anna and Zhao (2020

12 Identification results - never treated as comparison group When co variatespla yan impor tantrole and w euse the "ne vertreated" units as comparison group,

Calla wayand Sant"Anna (2020

) show you can use three estimation methods: OR, IPW or DR (AIPW).

Here w esho wthe AIPW/DR estimand:

ATT nevdr(g,t)=E2 6 640
B B@G gE [Gg]p g(X)C1pg(X)E pg(X)C1pg(X)1 C

CAYtYg1mnevg,t(X)3

7 75.
wheremnevg,t(X)=EYtYg1jX,C=1.

Extend s

Hec kmanet al. (1997

Abadie (2005

Sant"Anna and Zhao (2020

12 Identification results - never treated as comparison group When co variatespla yan impor tantrole and w euse the "ne vertreated" units as comparison group,

Calla wayand Sant"Anna (2020

) show you can use three estimation methods: OR, IPW or DR (AIPW).

Here w esho wthe AIPW/DR estimand:

ATT nevdr(g,t)=E2 6 640
B B@G gE [Gg]p g(X)C1pg(X)E pg(X)C1pg(X)1 C

CAYtYg1mnevg,t(X)3

7 75.
wheremnevg,t(X)=EYtYg1jX,C=1.

Extend s

Hec kmanet al. (1997

Abadie (2005

Sant"Anna and Zhao (2020

12 Identification results - not-yet treated as comparison group

Calla wayan dSant"Anna (2020

) show you can get analogous results when using "not-y ettreated" units as the compar isong roup.

Here w esho wthe AIPW/DR estimand:

ATT ny dr(g,t)=E2 6 6640
B BB@G gE [Gg]p g,t(X)(1Dt)1pg,t(X)E pg,t(X)(1Dt)1pg,t(X)1 C CCA Y tYg1mny g,t(X)3 7 775.
wheremny g,t(X)=EYtYg1jX,Dt=0,Gg=0. .

Extends

Hec kmanet al. (1997

Abadie (2005

Sant"Anna and Zhao (2020

too. 13

Stata Implementation

Let"s get start with the csdid package in Stata

We first need to installcsdidand its sister package,drdid, that implements

Sant"Anna and Zhao (2020

); see

Rios-A vila,Naqvi and Sant"Anna (2021

* Let"s first install drdid ssc install drdid, all replace * Now let"s install csdid ssc install csdid, all replaceI strongly recommend that you take a look at our help files: * Help file for csdid help csdid * Help file for Post-estimation procedures associated with csdid help csdid_postestimation14

Let"s get start with the csdid package in Stata

We first need to installcsdidand its sister package,drdid, that implements

Sant"Anna and Zhao (2020

); see

Rios-A vilaet al. (2021

* Let"s first install drdid ssc install drdid, all replace * Now let"s install csdid ssc install csdid, all replaceI strongly recommend that you take a look at our help files: * Help file for csdid help csdid * Help file for Post-estimation procedures associated with csdid help csdid_postestimation14 csdid syntax csdiddepvar[indepvars] [if] [in] [weight], [ivar(varname)]time(varname)gvar(varname) [ options ] •depvar: Outcome of interest •indepvars: Optional vector of covariatesquotesdbs_dbs35.pdfusesText_40
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