Main function

Description

Library of Estimators in Difference-in-Difference (DID) designs with multiple groups and periods.

Usage

did_multiplegt(mode, ...)

Arguments

Overview

did_multiplegt wraps in a single command all the estimators from de Chaisemartin and D'Haultfoeuille. Depending on the mode argument, this command can be used to call the following estimators.

did_multiplegt_dyn. In dyn mode, the command computes the DID event-study estimators introduced in de Chaisemartin and D'Haultfoeuille (2024a). This mode can be used both with a binary and staggered (absorbing) treatment and a non-binary treatment (discrete or continuous) that can increase or decrease multiple times. The estimator is also robust to heterogeneous effects of the current and lagged treatments. Lastly, it can be used with data where the panel st is unblanced or more disaggregated than the group level.

did_had. In had mode, the command computes the DID estimator introduced in de Chaisemartin and D'Haultfoeuille (2024b). This mode estimates the effect of a treatment on an outcome in a heterogeneous adoption design (HAD) with no stayers but some quasi stayers.

did_multiplegt_old. In old mode, the command computes the DID estimators introduced in de Chaisemartin and D'Haultfoeuille (2020). This mode corresponds to the old version of the did_multiplegt command. Specifically, it can be used to estimate DID_M, i.e. the average across t and d of the treatment effects of groups that have treatment d at t-1 and change their treatment at t, using groups that have treatment d at t-1 and t as controls. This mode could also be used to compute event-study estimates, but we strongly suggest to use the dyn mode, since it is way faster and includes comprehensive estimation and post-estimation support.

References

de Chaisemartin, C and D'Haultfoeuille, X (2020). American Economic Review, vol. 110, no. 9. Two-Way Fixed Effects Estimators with Heterogeneous Treatment Effects.

de Chaisemartin, C and D'Haultfoeuille, X (2024a). Review of Economics and Statistics, 1-45. Difference-in-Differences Estimators of Intertemporal Treatment Effects.

de Chaisemartin, C and D'Haultfoeuille, X (2024b). Two-way Fixed Effects and Differences-in-Differences Estimators in Heterogeneous Adoption Designs.

Vella, F. and Verbeek, M. 1998. Journal of Applied Econometrics 13(2), 163–183. Whose wages do unions raise? a dynamic model of unionism and wage rate determination for young men.

Examples

# Test all modes using Vella and Verbeek (1998) data:
data("wagepan_mgt")
wagepan_mgt$X <- runif(n=nrow(wagepan_mgt)) * (wagepan_mgt$year >= 1983)
Y = "lwage"
G = "nr"
T = "year"
D = "union"
X = "X"

did_multiplegt(mode = "old", wagepan_mgt, Y, G, T, D)
## Not run: 
# These examples require polars package to be installed
did_multiplegt(mode = "dyn", wagepan_mgt, Y, G, T, D, graph_off = TRUE)
did_multiplegt(mode = "had", wagepan_mgt, Y, G, T, X, graph_off = TRUE)

## End(Not run)

Old DID Multiplegt Estimator (de Chaisemartin and D'Haultfoeuille 2020)

Description

This is the old version of did_multiplegt from de Chaisemartin and D'Haultfoeuille (2020). For most use cases, we recommend using did_multiplegt with mode="dyn" instead, which is faster and has more features.

Usage

did_multiplegt_old(
  df,
  Y,
  G,
  T,
  D,
  controls = c(),
  placebo = 0,
  dynamic = 0,
  threshold_stable_treatment = 0,
  recat_treatment = NULL,
  trends_nonparam = NULL,
  trends_lin = NULL,
  brep = 0,
  cluster = NULL,
  covariance = FALSE,
  average_effect = NULL,
  parallel = FALSE
)

Arguments

Value

A list with treatment effects and related statistics

wagepan_mgt

Description

A subset of data from Vella and Verbeek (1998).

Usage

wagepan_mgt

Format

## 'wagepan_mgt' A data frame with 4,360 rows and 5 columns:

lwage

Log wage.

nr

Worker ID.

year

Year

union

Union status.

hours

Annual Hours worked.

Source

<http://fmwww.bc.edu/ec-p/data/wooldridge/wagepan.des>