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  • Difference in Differences with Lags and Leads

    I have a panel dataset for songs which can be remixed at different time periods. I am interested in the question of whether derivative products create a upstream competition for their parent products. Here is my baseline regression:
    Yit = α + β1 × Treatment*postit + γi + δt + ϵit, where Yit is number of daily streams, γi is song and δt is time fixed-effects.
    I also want to run a placebo test by adding leads and lags, similar to Autor (2003). As far as I understood, these leads and lags are the interactions of the treatment variable with time dummies, rather than actual leads and lags. Currently, I am using reghdfe command rather than xtreg,fe as my dataset is huge and I need to add time fixed effects. Here is the code that I use when I run difference in differences analysis:

    Code:
    reghdfe log_daily_streams treatment, absorb(song_id day) vce(cluster song_id)
    Here is how my data looks like:

    Code:
    song_id  n_streams       day                 treatment
       1           30            May01              0
       1           34            May02              0
       1           32            May03              0
       1           32            May04              0
       1           56            May05              1
       1           67            May06              1
       1           45            May07              1
       2           23            May01              0
       2           25            May02              0
       2           27            May03              0
       2           27            May04              0  
       2           28            May05              0  
       2           23            May06              0
       2           23            May07              0
    How could I run something similar to what Author(2003) has done?
    Last edited by Erdem Yilmaz; 05 Apr 2018, 02:50.
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