| author | date | version | title | description | url | requires | files | ||||
|---|---|---|---|---|---|---|---|---|---|---|---|
Koren, Miklós (https://koren.mk) |
2024-01-15 |
0.6.0 |
ATTGT - Average Treatment Effects with Staggered Treatment |
`att` computes average treatment effect parameters in Difference in Differences setups with more than two periods and with variation in treatment timing using the methods developed in Callaway and Sant'Anna (2021) <doi:10.1016/j.jeconom.2020.12.001>. The main parameters are group-time average treatment effects which are the average treatment effect for a particular group at a particular time. These can be aggregated into a fewer number of treatment effect parameters, and the package deals with the cases where there is selective treatment timing, dynamic treatment effects, calendar time effects, or combinations of these.
|
Stata version 16 |
|
attgtdepvars, treatment(varname) aggregate(method) [pre(#) post(#) baseline(#) reps(#)]
att computes average treatment effect parameters in Difference in Differences setups with more than two periods and with variation in treatment timing using the methods developed in Callaway and Sant'Anna (2021) doi:10.1016/j.jeconom.2020.12.001. The main parameters are group-time average treatment effects which are the average treatment effect for a particular group at a particular time. These can be aggregated into a fewer number of treatment effect parameters, and the package deals with the cases where there is selective treatment timing, dynamic treatment effects, calendar time effects, or combinations of these.
The package can be installed with
net install attgt, from(https://raw.githubusercontent.com/korenmiklos/attgt/main/)
| Parameter | Description |
|---|---|
| treatment | Dummy variable indicating treatment, e.g., reform |
| aggregate | One of the methods (below) to aggregate individual treatment effects. |
method is one of
| Method | Description |
|---|---|
| gt | (default) separate ATT for each treatment group g and calendar time t |
| att | one overall ATT, relative to period before treatment |
| prepost | one overall ATT, relative to the average of pre periods before treatment |
| e | aggregate ATT by event time (0 denotes the period before treatment) |
| Option | Description |
|---|---|
| pre | Number of periods before treatment to include in the estimation (does not apply to att) |
| post | Number of periods after treatment to include in the estimation |
| ipw | Inverse probability weighting following Abadie (2005) |
| reps | Number of repetitions for boostrap (default = 199) |
| baseline | Baseline period to compare ATET against (default = -1) |
| generate (optional) | Name of the frame to store the coefficients and their confidence interval. |
The command requires a panel dataset declared by xtset.
The command also returns, as part of e(), the coefficients and standard errors. See ereturn list after running the command.
If the generate option is used, the returned frame contains the following variables:
time: the time period relative to the baselinecoef: the estimated coefficientlower: the lower bound of the 95% confidence intervalupper: the upper bound of the 95% confidence interval
The frame is tsset by time, so tsline can be used to plot the event study.
The command does not allow for if and in clauses. If you need to limit the sample, use
preserve
keep if ... in ...
attgt ...
restore
use https://friosavila.github.io/playingwithstata/drdid/lalonde.dta, clear
xtset id year
attgt re, treatment(experimental) aggregate(gt)
- Miklós Koren (Central European University), maintainer
You are free to use this package under the terms of its license. If you use it, please cite both the original article and the software package in your work:
- Callaway, Brantly, and Pedro H. C. Sant’Anna. 2021. “Difference-in-Differences with Multiple Time Periods.” Journal of Econometrics 225 (2): 200–230.
- Koren, Miklós. 2023. "ATTGT: Average Treatment Effects with Staggered Treatment. [software]" Available at https://github.com/korenmiklos/attgt
The code has been inspired by Rios-Avila, Sant’Anna, Callaway and Naqvi (2021).
- Abadie, Alberto. 2005. “Semiparametric Difference-in-Differences Estimators.” The Review of Economic Studies 72 (1): 1–19.
- Callaway, Brantly, and Pedro H. C. Sant’Anna. 2021. “Difference-in-Differences with Multiple Time Periods.” Journal of Econometrics 225 (2): 200–230.
- Rios-Avila, Fernando, Pedro H. C. Sant’Anna, Brantly Callaway, and Asjad Naqvi. 2021. “csdid and drdid: Doubly Robust Differences-in-Differences with Multiple Time Periods. [software]” Available at https://github.com/friosavila/csdid_drdid