EventStudyWeights

eventstudyweights is a Stata package that estimates the implied weights on the cohort-specific average treatment effects on the treated (CATTs) underlying two-way fixed effects regressions with relative time indicators (event study specifications) as derived in Sun and Abraham (2020). An accompanying package eventstudyinteract implements the interaction weighted estimator for an event study proposed by Sun and Abraham (2020) as an alternative to the canonical two-way fixed effects regressions with relative time indicators.

Installation

eventstudyweights can be installed easily via the github package, which is available at https://github.com/haghish/github. Specifically execute the following code in Stata:

net install github, from("https://haghish.github.io/github/")

To install the eventstudyweights package , execute the following in Stata:

github install lsun20/eventstudyweights

which should install the dependency packages. If not working, try manually install

ssc install hdfe

To update the eventstudyweights package, execute the following in Stata:

github update eventstudyweights

Documentation is included in the Stata help file that is installed along with the package. An empirical example is provided in the help file.

Authors and acknowledgment

Liyang Sun

Preprint of Sun and Abraham (2020) is available on my personal website.

Thank you to the users of the program who devoted time to reporting the bugs that they encountered.