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PCDID: Stata module to perform principal components difference-in-differences

Author

Listed:
  • Marc Chan

    (University of Melbourne)

  • Simon Kwok

    (University of Sydney)

Programming Language

Stata

Abstract

pcdid implements factor-augmented difference-in-differences (DID) estimation. It is useful in situations where the user suspects that trends may be unparallel and/or stochastic among control and treated units. The data structure is similar to that in a DID setup. The estimation method is regression-based and can be considered as an extension of conventional DID regressions. pcdid also implements a parallel trend alpha test (based on an interactive effects structure) and a recursive procedure that determines the number of factors automatically.

Suggested Citation

  • Marc Chan & Simon Kwok, 2021. "PCDID: Stata module to perform principal components difference-in-differences," Statistical Software Components S458908, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s458908
    Note: This module should be installed from within Stata by typing "ssc install pcdid". 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

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/p/pcdid.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/p/pcdid.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/p/pdd.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/g/grtestsub.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/f/fproxy.dta
    File Function: sample data file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/t/tindex_pcdid.dta
    File Function: sample data file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/y/ycresid_pcdid.dta
    File Function: sample data file
    Download Restriction: no
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