Leads and lags in a DID: "time variable not set" error

[Jim Callegari]

Hi everyone,

I am trying to run a DID where I have an interaction variable that I would like to see leads and lags for. My data is monthly, so I was thinking I could look back 6 months forwards and backwards for my regression. I am being faced with the error that "time variable not set," when I use my interaction variable "post_softdrinks" which I created using this code:

gen post_softdrink = (prod =="Softdrinks") * (td_combined_date>=td(01mar2016)) //interaction var w/soft drinks after the change in the tax

I added this code into my regression, but that is what was giving me the error:

 L(-5/5).post_softdrinks

Pasted below is an output of my data, and also the regression that I am looking to run. Thank you in advance for any and all suggestions or tips!

reg rel_px ib30.id_new _Icombined_* L(-5/5).new_post_softdrink if country=="UK" & test_include_prod==1 & year>=2015 , robust

* Example generated by -dataex-. To install: ssc install dataex
clear
input str21 prod float td_combined_date str7 country float(rel_px post_softdrink)
"Electricitygasandot"   19724 "UK"      1.0753354 0
"Sugar"                 19724 "Ireland" 1.0343435 0
"Food"                  19724 "UK"      1.0653728 0
"Chocolate"             19724 "Ireland" 1.0214777 0
"Confectioneryproducts" 19724 "Ireland" 1.0496109 0
"Footwear"              19724 "Ireland"  .9747818 0
"Meat"                  19724 "Ireland" 1.0602767 0
"Fruit"                 19724 "Ireland" 1.0621866 0
"Edibleicesandicecre"   19724 "UK"              . 0
"Floursandothercereal"  19724 "Ireland" 1.0117648 0
"Tea"                   19724 "Ireland"  .9939699 0
"Yoghurt"               19724 "Ireland"  1.018664 0
"Confectioneryproducts" 19724 "UK"              . 0
"Footwear"              19724 "UK"       .9770688 0
"Coffee"                19724 "Ireland" 1.0166975 0
"Fish"                  19724 "Ireland" 1.0341365 0
"Mineralorspringwater"  19724 "UK"              . 0
"Freshwholemilk"        19724 "Ireland" 1.0208126 0
"Tobacco"               19724 "Ireland"  .9005347 0
"Eggs"                  19724 "UK"              . 0
"Tobacco"               19724 "UK"       .8888889 0
"Food"                  19724 "Ireland" 1.0420744 0
"Rice"                  19724 "UK"              . 0
"Breadandcereals"       19724 "UK"       1.041456 0
"Milkcheeseandeggs"     19724 "Ireland" 1.0206084 0
"Crisps"                19724 "UK"              . 0
"Mineralwaterssoftdr"   19724 "UK"      1.0090271 0
"Freshwholemilk"        19724 "UK"              . 0
"Fruit"                 19724 "UK"       .9902344 0
"Freshlowfatmilk"       19724 "UK"              . 0
"Housingwaterelectri"   19724 "Ireland"  .9859013 0
"Fish"                  19724 "UK"      1.0695021 0
"Sugar"                 19724 "UK"              . 0
"Sugarjamhoneychoc"     19724 "Ireland" 1.0362117 0
"Mineralwaterssoftdr"   19724 "Ireland"         1 0
"Fruitandvegetablejui"  19724 "Ireland"  .9882237 0
"Yoghurt"               19724 "UK"              . 0
"Coffeeteaandcocoa"     19724 "Ireland" 1.0019418 0
"Eggs"                  19724 "Ireland" 1.0430107 0
"Jamsmarmaladesandho"   19724 "UK"              . 0
"Milkcheeseandeggs"     19724 "UK"      1.0894141 0
"Coffee"                19724 "UK"              . 0
"Vegetables"            19724 "Ireland" 1.0360624 0
"Mineralorspringwater"  19724 "Ireland" 1.0270813 0
"Bread"                 19724 "Ireland"     1.056 0
"Softdrinks"            19724 "Ireland"         1 0
"Cocoaandpowderedchoc"  19724 "Ireland"  .9790276 0
"Freshlowfatmilk"       19724 "Ireland" 1.0119402 0
"Jamsmarmaladesandho"   19724 "Ireland"  .9854369 0
"Cocoaandpowderedchoc"  19724 "UK"              . 0
"Rice"                  19724 "Ireland"  .9836364 0
"Coffeeteaandcocoa"     19724 "UK"          1.035 0
"Fruitandvegetablejui"  19724 "UK"              . 0
"Softdrinks"            19724 "UK"              . 0
"Electricitygasandot"   19724 "Ireland" 1.1135902 0
"Chocolate"             19724 "UK"              . 0
"Crisps"                19724 "Ireland" 1.0491159 0
"Sugarjamhoneychoc"     19724 "UK"      1.0389345 0
"Meat"                  19724 "UK"      1.0703206 0
"Floursandothercereal"  19724 "UK"              . 0
"Housingwaterelectri"   19724 "UK"         .98999 0
"Allitems"              19724 "Ireland"      .997 0
"Edibleicesandicecre"   19724 "Ireland" 1.0924288 0
"Tea"                   19724 "UK"              . 0
"Breadandcereals"       19724 "Ireland" 1.0509305 0
"Vegetables"            19724 "UK"      1.1340206 0
"Allitems"              19724 "UK"        .988024 0
"Bread"                 19724 "UK"              . 0
"Confectioneryproducts" 19755 "UK"              . 0
"Electricitygasandot"   19755 "Ireland" 1.1146045 0
"Meat"                  19755 "UK"      1.0775595 0
"Coffeeteaandcocoa"     19755 "Ireland" 1.0320388 0
"Coffeeteaandcocoa"     19755 "UK"          1.025 0
"Fruit"                 19755 "UK"       .9736328 0
"Vegetables"            19755 "Ireland" 1.0185186 0
"Tobacco"               19755 "Ireland"  .9005347 0
"Mineralorspringwater"  19755 "UK"              . 0
"Chocolate"             19755 "UK"              . 0
"Crisps"                19755 "Ireland" 1.0658153 0
"Mineralwaterssoftdr"   19755 "UK"      1.0351053 0
"Freshwholemilk"        19755 "UK"              . 0
"Sugarjamhoneychoc"     19755 "UK"      1.0379099 0
"Breadandcereals"       19755 "UK"       1.057634 0
"Floursandothercereal"  19755 "UK"              . 0
"Freshwholemilk"        19755 "Ireland" 1.0188305 0
"Eggs"                  19755 "UK"              . 0
"Electricitygasandot"   19755 "UK"      1.0773994 0
"Tobacco"               19755 "UK"       .8898636 0
"Chocolate"             19755 "Ireland"   .975945 0
"Milkcheeseandeggs"     19755 "UK"      1.0935252 0
"Mineralwaterssoftdr"   19755 "Ireland" 1.0350379 0
"Tea"                   19755 "Ireland" 1.0211055 0
"Sugar"                 19755 "UK"              . 0
"Housingwaterelectri"   19755 "Ireland"  .9899295 0
"Yoghurt"               19755 "Ireland" 1.0196463 0
"Sugar"                 19755 "Ireland" 1.0414141 0
"Confectioneryproducts" 19755 "Ireland" 1.0321012 0
"Floursandothercereal"  19755 "Ireland"  1.017647 0
"Fruitandvegetablejui"  19755 "UK"              . 0
"Allitems"              19755 "Ireland"     1.002 0
end
format %d td_combined_date

[Rich Goldstein]

help tsset

[River Huang]

Dear Jim, Please try the following code (and note that your data is "monthly"):

sort country td_combined_date prod
gen ym = mofd(td_combined_date)
format ym %tm
egen id = group(country prod)
xtset id ym

[Jim Callegari]

Thank you so much, River! That worked perfectly.

I have one more question as well: right now, the "delta" that it is counting by is per month, but is there a way to create leads and lags for multi-month intervals (3 months for example)? My data has some variation between months, but I am more interested in the general pre and post-trends rather than the individual month specifically. Do you have a any suggestions for how I could make 3 month lead and lag values (or some other number of months that I set/determine)? So to clarify, when the output displays: "F1." "F2." etc, "F1." would be the lead for the 3 month averaged price value leading up to the treatment date in the DID, and "F2." would be for months 4-6 prior to the treatment, etc.

Thank you again for all the help you've given me so far.

Best,
Chris