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Policy Effect Estimation and Visualization in Linear Panel Event-Study Designs: Introducing the xtevent Package

Author

Listed:
  • Simon Freyaldenhoven
  • Christian B. Hansen
  • Jorge Pérez Pérez
  • Jesse M. Shapiro
  • Constantino Carreto

Abstract

Linear panel models and the "event-study plots" that often accompany them are popular tools for learning about policy effects. In this paper, we introduce the "xtevent" package for Stata, which enables the construction of event-study plots following the suggestions in Freyaldenhoven et al. (forthcoming). The package implements various procedures to estimate the policy effects that underlie the plots, and allows for non-binary policy variables and estimation adjusting for pre-event trends.

Suggested Citation

  • Simon Freyaldenhoven & Christian B. Hansen & Jorge Pérez Pérez & Jesse M. Shapiro & Constantino Carreto, 2024. "Policy Effect Estimation and Visualization in Linear Panel Event-Study Designs: Introducing the xtevent Package," Working Papers 2024-09, Banco de México.
    • Handle: RePEc:bdm:wpaper:2024-09
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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