eventstudyweights is a Stata package that estimates the implied weights on the cohort-specific average treatment effects on the treated (CATTs) underlying two-way fixed effects regressions with relative time indicators (event study specifications) as derived in Sun and Abraham (2020). An accompanying package eventstudyinteract implements the interaction weighted estimator for an event study proposed by Sun and Abraham (2020) as an alternative to the canonical two-way fixed effects regressions with relative time indicators.
eventstudyweights can be installed easily via the github package, which is available at https://github.com/haghish/github. Specifically execute the following code in Stata:
net install github, from("https://haghish.github.io/github/")
To install the eventstudyweights package , execute the following in Stata:
github install lsun20/eventstudyweights
which should install the dependency packages. If not working, try manually install
ssc install hdfe
To update the eventstudyweights package, execute the following in Stata:
github update eventstudyweights
Documentation is included in the Stata help file that is installed along with the package. An empirical example is provided in the help file.
Liyang Sun
Preprint of Sun and Abraham (2020) is available on my personal website.
Thank you to the users of the program who devoted time to reporting the bugs that they encountered.