Software

wooldid: Estimation of Difference-in-Differences Treatment Effects with Staggered Treatment Onset Using Heterogeneity-Robust Two-Way Fixed Effects Regressions

This program offers a suite of tools in STATA for implementing difference-in-differences style analyses with staggered treatment onset using the two-way fixed effects approach proposed in Wooldridge (2021) and the high dimensional fixed effects estimators developed by Correia (2017). Features include:

Estimation of multiple types of overall average treatment effects
Estimation of event study style estimates of treatment effects in particular years relative to treatment using the user's choice of a pooled or fixed reference period
Estimation of various pre-trend tests: various types of average pre-treatment effects, testing the hypothesis that all pre-treatment relative time period specific effects are zero, testing the hypothesis that all relative time period specific effects (pre-and post-treatment) are on a single line
Estimation of subgroup/treatment-arm specific effects, including comparisons of effects across subgroups, tests for homogeneity of treatment effects across subgroups, and subgroup specific pre-trend tests
Estimation of the average marginal treatment effect of a continuous treatment variable (experimental)
Production of event study plots, histograms of treatment effects by cohorts, and plots of treatment effects across the distribution of a continuous treatment variable
Inference using clustered standard errors, using unconditional standard errors, and using Ibragimov and Muller (2010) style cluster-robust inference
Estimation of treatment effect elasticities and of treatment effects using poisson estimation

Citation Information: Thomas A. Hegland, 2023. "WOOLDID: Stata module to estimate Difference-in-Differences Treatment Effects with Staggered Treatment Onset Using Heterogeneity-Robust Two-Way Fixed Effects Regressions," Statistical Software Components S459238, Boston College Department of Economics, revised 06 Oct 2023.

For more on this program, check my github page. You may install wooldid in STATA using the command:

net install wooldid, from(https://raw.githubusercontent.com/thegland/wooldid/master/wooldidinstall/)

ssc install wooldid