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: Hegland, Thomas A. wooldid: Estimation of Difference-in-Differences Treatment Effects with Staggered Treatment Onset Using Heterogeneity-Robust Two-Way Fixed Effects Regressions. Statistical Software Components s459238, 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