author: Koren, Miklós (https://koren.mk) date: 2024-01-15 version: 0.6.0 title: ATTGT - Average Treatment Effects with Staggered Treatment description: | 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. url: https://github.com/korenmiklos/attgt requires: Stata version 16 files: - attgt.ado - attgt.sthlp - LICENSE

- testdata.dta

attgt Average Treatment Effects with Staggered Treatment

Syntax

• attgt depvars, 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/)

Options

Parameters

Parameter | Description -------|------------ treatment | Dummy variable indicating treatment, e.g., reform aggregate | One of the methods (below) to aggregate individual treatment effects.

Methods

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)

Options

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.

Remarks

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 baseline - coef: the estimated coefficient - lower: the lower bound of the 95% confidence interval - upper: 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

Examples

use https://friosavila.github.io/playingwithstata/drdid/lalonde.dta, clear xtset id year attgt re, treatment(experimental) aggregate(gt)

Authors

• Miklós Koren (Central European University), maintainer

License and Citation

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).

References

• 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