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STACKEDEV: Stata module to implement stacked event study estimator

Author

Listed:
  • Joshua Bleiberg

    (Brown University)

Programming Language

Stata

Abstract

stackedev implements the stacked event study estimator discussed in Cunningham (2021) and Baker (2021) and implemented in Cengiz et al. (2010). The package appends together individual datasets or stacks. Each stack includes all observations from a cohort of units that receive treatment in the same time period and all units that never received treatment. Effects are identified within each stack by comparing an individual cohort of treated units to never treated units. That approach avoids erroneous comparisons of late to early implementing units that may bias Two-Way Fixed Effects (TWFE) estimates if effects vary across treated cohorts (Goodman-Bacon, 2021). The stacked event study is estimated in three steps. First, individual stacks are created. Second, they are appended together. Finally the package estimates an event study via reghdfe that includes unit by stack fixed effects, time by stack fixed effects, and standard errors clustering on unit by stack.

Suggested Citation

  • Joshua Bleiberg, 2021. "STACKEDEV: Stata module to implement stacked event study estimator," Statistical Software Components S459027, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459027
    Note: This module should be installed from within Stata by typing "ssc install stackedev". 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

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    File URL: http://fmwww.bc.edu/repec/bocode/s/stackedev.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/stackedev.ado
    File Function: program code
    Download Restriction: no
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    More about this item

    Keywords

    event study; treatment; Stata;
    All these keywords.

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