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DID2S: Stata module to estimate a TWFE model using the two-stage difference-in-differences approach

Author

Listed:
  • Kyle Butts

    (University of Colorado, Boulder)

Programming Language

Stata

Abstract

did2s implements Two-Stage Difference-in-Differences by Gardner (2021). A TWFE model for outcomes is given by unit/group fixed effects, time fixed effects, treatment variable (or variables in the case of event study), and potentially covariates. To avoid the problems with OLS estimation of difference-in-differences/event-studies in the presence of staggered treatment adoption, this method proceeds in two stages: 1. This program estimates the unit/group fixed effects, time fixed effects, and potentially covariates using only untreated/not-yet-treated observations. This is used to predict counterfactual outcomes in all periods and residualize the observed outcome. 2. Then regress the residualized outcome on the treatment variable(s) to estimate the treatment effects.

Suggested Citation

  • Kyle Butts, 2021. "DID2S: Stata module to estimate a TWFE model using the two-stage difference-in-differences approach," Statistical Software Components S458951, Boston College Department of Economics, revised 28 Apr 2023.
    • Handle: RePEc:boc:bocode:s458951
    Note: This module should be installed from within Stata by typing "ssc install did2s". 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/d/did2s.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/d/did2s.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/d/did2s_example.do
    File Function: sample do-file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/d/df_het.dta
    File Function: sample data file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/d/df_hom.dta
    File Function: sample data file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/g/Gardner_2sdd.pdf
    File Function: documentation
    Download Restriction: no
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