Extra materials

STATA Package

Package name: PCDID

Title line: Stata module for factor-augmented difference-in-differences estimation when trends may be unparallel and/or stochastic

Description: pcdid executes a principal components difference-in-differences regression based on Chan and Kwok (2016, 2020). It is useful in situations where the user suspects that trends may be unparallel and/or stochastic among control and treated units. The data structure is the same as that in a DID setup. The estimation method is regression-based and can be considered as an extension of conventional DID regressions. The command also implements a parallel trend alpha test (based on an interactive effects structure) and a recursive procedure that determines the number of factors automatically.

STATA ado file1 STATA ado file2 STATA ado file3

STATA help file

PDF Documentation

Version 1.01. To install the package, type "ssc install pcdid" in STATA.

(Alternatively, copy the above ado and help files to your personal ado directory. This directory can be found by typing "personal" in STATA. (Typically it is c:\ado\personal\ on a windows machine.)

Reference: The PCDID Approach: Difference-in-Differences when Trends are Potentially Unparallel and Stochastic (with Simon Kwok) forthcoming at Journal of Business and Economic Statistics

Keywords: Principal components difference-in-differences, Interactive fixed effects, Factor-augmented regressions, Treatment effects, Parallel trends

Online Appendix

Please click on a link below:

• Welfare Dependence and Self-Control: An Empirical Analysis

• Life-Cycle and Intergenerational Effects of Child Care Reforms (with Kai Liu)

• The PCDID Approach: Difference-in-Differences when Trends are Potentially Unparallel and Stochastic (with Simon Kwok)

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