DiD command in stata

[Taiba Chau]

Hi, I have panel data and trying to run a DiD regression using the statistics command in stata. I have done it but an error message keeps appearing. This is the message:

Is this due to the potential dummy variable trap? Because I have dates for 1 month. Then the firm is either treated throughout the 30 days or not.
Currently, I am inputting:

xtdidregress (happy) (treat), group(firm) time(date) vce(robust)

[Øyvind Snilsberg]

DiD requires data from before and after treatment

[Taiba Chau]

i see thank you. I have a balanced in which the firms are either treated or not in the 30 days. I know I can still run a regression for DiD but would would it be then?

[Øyvind Snilsberg]

if you have data from before and after treatment, make sure the treatment variable is 1 only for treated firms after treatment

[Taiba Chau]

Yes, that is what I have.
I ran the following regression:
xtreg happy i.date##i.treat, fe robust
margins date, dydx(treat) noestimcheck
I got the following output:

. xtreg movement_ch i.date##i.treat, fe vce(cluster firm)
note: 1.treat omitted because of collinearity.

Fixed-effects (within) regression Number of obs = 64,128
Group variable: firm Number of groups = 668

R-squared: Obs per group:
Within = 0.5659 min = 96
Between = 0.0003 avg = 96.0
Overall = 0.4313 max = 96

F(190,667) = 619.17
corr(u_i, Xb) = -0.0091 Prob > F = 0.0000

(Std. err. adjusted for 668 clusters in firm)
------------------------------------------------------------------------------
| Robust
movement_ch | Coefficient std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
date |
22190 | -.0117339 .0036363 -3.23 0.001 -.0188739 -.0045938
22191 | .0061952 .0048685 1.27 0.204 -.0033642 .0157547
22192 | -.0075834 .0054592 -1.39 0.165 -.0183027 .003136
22193 | -.0246947 .0043844 -5.63 0.000 -.0333037 -.0160857
22194 | -.0254833 .0041861 -6.09 0.000 -.0337028 -.0172638
22195 | -.0339461 .0038213 -8.88 0.000 -.0414493 -.0264428
22196 | -.0187918 .0031872 -5.90 0.000 -.0250498 -.0125337
22197 | -.0308207 .0039396 -7.82 0.000 -.0385562 -.0230851
22198 | -.0226277 .0058717 -3.85 0.000 -.034157 -.0110984
22199 | -.0224438 .0058888 -3.81 0.000 -.0340066 -.010881
22200 | -.0686675 .0048555 -14.14 0.000 -.0782015 -.0591336
22201 | -.0387865 .0043222 -8.97 0.000 -.0472731 -.0302998
22202 | -.0319462 .0038592 -8.28 0.000 -.0395238 -.0243687
22203 | -.019572 .0033171 -5.90 0.000 -.0260853 -.0130587
22204 | -.0458368 .0040686 -11.27 0.000 -.0538257 -.037848
22205 | -.0118971 .0052492 -2.27 0.024 -.022204 -.0015902
22206 | -.0092345 .0054684 -1.69 0.092 -.0199719 .0015029
22207 | -.0519531 .004755 -10.93 0.000 -.0612896 -.0426165
22208 | -.0558492 .0043931 -12.71 0.000 -.0644753 -.0472231
22209 | -.0545306 .0038288 -14.24 0.000 -.0620485 -.0470128
22210 | -.038902 .003583 -10.86 0.000 -.0459372 -.0318667
22211 | -.0578857 .0038195 -15.16 0.000 -.0653854 -.0503859
22212 | -.0378233 .0052664 -7.18 0.000 -.048164 -.0274825
22213 | -.0556134 .0052973 -10.50 0.000 -.0660147 -.0452121
22214 | -.0705166 .0046715 -15.09 0.000 -.0796893 -.061344
22215 | -.0756699 .0051615 -14.66 0.000 -.0858047 -.0655351
22216 | -.0735554 .0044029 -16.71 0.000 -.0822007 -.0649101
22217 | -.0775573 .0037962 -20.43 0.000 -.0850112 -.0701033
22218 | -.0386952 .003858 -10.03 0.000 -.0462706 -.0311199
22219 | -.0120354 .0045457 -2.65 0.008 -.0209609 -.0031098
22220 | -.0376253 .0052698 -7.14 0.000 -.0479726 -.027278
22221 | -.0546584 .0046533 -11.75 0.000 -.0637953 -.0455215
22222 | -.0119833 .004516 -2.65 0.008 -.0208505 -.003116
22223 | -.0603627 .0039999 -15.09 0.000 -.0682167 -.0525087
22224 | -.0473259 .0031872 -14.85 0.000 -.053584 -.0410678
22225 | -.0622291 .0039075 -15.93 0.000 -.0699015 -.0545567
22226 | -.047348 .004546 -10.42 0.000 -.0562742 -.0384217
22227 | -.0461815 .0050803 -9.09 0.000 -.0561569 -.0362061
22228 | -.0645733 .0049721 -12.99 0.000 -.0743362 -.0548104
22229 | -.0635766 .0047364 -13.42 0.000 -.0728765 -.0542766
22230 | -.1086741 .0045589 -23.84 0.000 -.1176256 -.0997226
22231 | -.1020283 .0039647 -25.73 0.000 -.1098131 -.0942435
22232 | -.084939 .0040942 -20.75 0.000 -.0929781 -.0768999
22233 | -.0980612 .0054813 -17.89 0.000 -.1088239 -.0872985
22234 | -.10577 .0060594 -17.46 0.000 -.1176678 -.0938723
22235 | -.0776466 .0047393 -16.38 0.000 -.0869524 -.0683408
22236 | -.0714797 .0048872 -14.63 0.000 -.0810759 -.0618835
22237 | -.084377 .0043147 -19.56 0.000 -.0928491 -.0759049
22238 | -.0651048 .0037058 -17.57 0.000 -.0723812 -.0578284
22239 | -.0794405 .0043188 -18.39 0.000 -.0879206 -.0709604
22240 | -.0892378 .0057397 -15.55 0.000 -.1005079 -.0779677
22241 | -.1147094 .0059885 -19.15 0.000 -.1264681 -.1029507
22242 | -.070078 .0053572 -13.08 0.000 -.0805971 -.059559
22243 | -.0597455 .0053587 -11.15 0.000 -.0702675 -.0492236
22244 | -.0316702 .004837 -6.55 0.000 -.0411679 -.0221726
22245 | -.364146 .0048262 -75.45 0.000 -.3736224 -.3546696
22246 | -.2139293 .0046396 -46.11 0.000 -.2230393 -.2048193
22247 | -.1434266 .0054904 -26.12 0.000 -.1542072 -.132646
22248 | -.0974948 .0060987 -15.99 0.000 -.1094699 -.0855198
22249 | -.1049967 .0051781 -20.28 0.000 -.115164 -.0948293
22250 | -.0660503 .0058076 -11.37 0.000 -.0774537 -.0546469
22251 | -.0901983 .0041591 -21.69 0.000 -.0983647 -.0820319
22252 | -.0576052 .0040886 -14.09 0.000 -.0656334 -.0495771
22253 | -.0878984 .0040813 -21.54 0.000 -.0959121 -.0798846
22254 | -.0934529 .0053136 -17.59 0.000 -.1038862 -.0830195
22255 | -.1115524 .00604 -18.47 0.000 -.1234122 -.0996927
22256 | -.0947357 .0047825 -19.81 0.000 -.1041262 -.0853452
22257 | -.0852183 .0047106 -18.09 0.000 -.0944678 -.0759688
22258 | -.0856866 .0043742 -19.59 0.000 -.0942755 -.0770976
22259 | -.0686329 .0035578 -19.29 0.000 -.0756188 -.0616471
22260 | -.091803 .0044439 -20.66 0.000 -.1005288 -.0830773
22261 | -.0848228 .0053538 -15.84 0.000 -.0953352 -.0743104
22262 | -.1058546 .0064841 -16.33 0.000 -.1185862 -.0931229
22263 | -.1093315 .0056155 -19.47 0.000 -.1203578 -.0983053
22264 | -.0706573 .0050862 -13.89 0.000 -.0806441 -.0606704
22265 | -.1316232 .0060743 -21.67 0.000 -.1435502 -.1196962
22266 | -.0895425 .0052969 -16.90 0.000 -.0999431 -.0791419
22267 | -.0763088 .0044973 -16.97 0.000 -.0851394 -.0674783
22268 | -.0522904 .0049384 -10.59 0.000 -.061987 -.0425938
22269 | -.0722278 .0053503 -13.50 0.000 -.0827333 -.0617223
22270 | -.0389771 .0052212 -7.47 0.000 -.049229 -.0287251
22271 | -.0230712 .0045737 -5.04 0.000 -.0320518 -.0140906
22272 | -.0010417 .0050472 -0.21 0.837 -.010952 .0088685
22273 | -.1285618 .0043548 -29.52 0.000 -.1371125 -.1200111
22274 | -.481358 .0048315 -99.63 0.000 -.4908447 -.4718712
22275 | -.2047548 .0053326 -38.40 0.000 -.2152254 -.1942841
22276 | -.1378026 .0053101 -25.95 0.000 -.1482291 -.127376
22277 | -.1084895 .0051853 -20.92 0.000 -.1186711 -.098308
22278 | -.1135309 .0050113 -22.65 0.000 -.1233707 -.1036911
22279 | -.1227531 .0051642 -23.77 0.000 -.1328932 -.112613
22280 | -.0820567 .0042048 -19.51 0.000 -.090313 -.0738004
22281 | -.3877996 .0059284 -65.41 0.000 -.3994403 -.376159
22282 | -.1751182 .0068653 -25.51 0.000 -.1885985 -.1616379
22283 | -.1382504 .0057396 -24.09 0.000 -.1495203 -.1269805
22284 | -.0712775 .0048138 -14.81 0.000 -.0807295 -.0618256
|
1.treat | 0 (omitted)
|
date#treat |
22190 1 | -.0103737 .0049077 -2.11 0.035 -.0200101 -.0007373
22191 1 | -.0101262 .0063709 -1.59 0.112 -.0226357 .0023833
22192 1 | -.0044279 .0074543 -0.59 0.553 -.0190646 .0102088
22193 1 | -.0121281 .0065307 -1.86 0.064 -.0249513 .0006951
22194 1 | -.0087692 .0058952 -1.49 0.137 -.0203447 .0028062
22195 1 | -.0163783 .0054397 -3.01 0.003 -.0270593 -.0056974
22196 1 | -.0029138 .0044857 -0.65 0.516 -.0117215 .0058939
22197 1 | -.0130168 .0053979 -2.41 0.016 -.0236157 -.0024179
22198 1 | -.0137071 .0077322 -1.77 0.077 -.0288896 .0014753
22199 1 | -.0107476 .0087325 -1.23 0.219 -.0278941 .006399
22200 1 | -.0148477 .0070438 -2.11 0.035 -.0286784 -.001017
22201 1 | -.0133479 .0061587 -2.17 0.031 -.0254408 -.0012551
22202 1 | -.0172506 .0058342 -2.96 0.003 -.0287062 -.005795
22203 1 | -.0027392 .004681 -0.59 0.559 -.0119306 .0064521
22204 1 | -.0122303 .0053842 -2.27 0.023 -.0228024 -.0016582
22205 1 | -.013572 .0071838 -1.89 0.059 -.0276777 .0005336
22206 1 | -.0063438 .0076328 -0.83 0.406 -.0213311 .0086434
22207 1 | -.0138562 .0067661 -2.05 0.041 -.0271417 -.0005707
22208 1 | -.0099377 .006598 -1.51 0.132 -.022893 .0030176
22209 1 | -.0127609 .0056425 -2.26 0.024 -.0238401 -.0016818
22210 1 | -.0051835 .0053016 -0.98 0.329 -.0155933 .0052264
22211 1 | -.0206262 .0054864 -3.76 0.000 -.0313989 -.0098535
22212 1 | -.0104425 .0071414 -1.46 0.144 -.0244648 .0035799
22213 1 | -.0152608 .0078666 -1.94 0.053 -.030707 .0001854
22214 1 | -.0218191 .0071155 -3.07 0.002 -.0357905 -.0078477
22215 1 | -.0185402 .0078314 -2.37 0.018 -.0339173 -.0031631
22216 1 | -.0175623 .0065492 -2.68 0.008 -.0304217 -.0047028
22217 1 | -.0146424 .0051181 -2.86 0.004 -.024692 -.0045927
22218 1 | -.0160528 .0053781 -2.98 0.003 -.0266129 -.0054927
22219 1 | -.0113074 .0063345 -1.79 0.075 -.0237455 .0011306
22220 1 | -.0121444 .0076517 -1.59 0.113 -.0271687 .0028798
22221 1 | -.015694 .0068201 -2.30 0.022 -.0290855 -.0023025
22222 1 | -.0114927 .0063873 -1.80 0.072 -.0240344 .001049
22223 1 | -.0173198 .0056385 -3.07 0.002 -.0283911 -.0062485
22224 1 | -.0025581 .0045688 -0.56 0.576 -.011529 .0064129
22225 1 | -.0137782 .0053594 -2.57 0.010 -.0243016 -.0032549
22226 1 | -.009298 .0062419 -1.49 0.137 -.0215541 .0029581
22227 1 | -.0074904 .0070061 -1.07 0.285 -.0212469 .0062662
22228 1 | -.0132087 .0071908 -1.84 0.067 -.0273281 .0009106
22229 1 | -.0104683 .006703 -1.56 0.119 -.0236298 .0026933
22230 1 | -.0177245 .0064879 -2.73 0.006 -.0304636 -.0049854
22231 1 | -.0008606 .0054653 -0.16 0.875 -.0115919 .0098707
22232 1 | -.0126195 .0057273 -2.20 0.028 -.0238652 -.0013738
22233 1 | -.0045465 .0074669 -0.61 0.543 -.0192081 .010115
22234 1 | -.0139692 .0084783 -1.65 0.100 -.0306165 .0026782
22235 1 | -.0119234 .0069744 -1.71 0.088 -.0256179 .001771
22236 1 | -.0102942 .0070353 -1.46 0.144 -.0241081 .0035198
22237 1 | -.0088444 .0061503 -1.44 0.151 -.0209207 .0032319
22238 1 | -.0056243 .0050648 -1.11 0.267 -.0155692 .0043206
22239 1 | -.008949 .00608 -1.47 0.142 -.0208872 .0029892
22240 1 | -.0000589 .0078617 -0.01 0.994 -.0154956 .0153778
22241 1 | -.0069736 .0087554 -0.80 0.426 -.0241652 .0102179
22242 1 | -.0192946 .0077663 -2.48 0.013 -.034544 -.0040452
22243 1 | -.0134066 .0076373 -1.76 0.080 -.0284027 .0015895
22244 1 | -.0175341 .0069132 -2.54 0.011 -.0311084 -.0039599
22245 1 | -.0040729 .0067131 -0.61 0.544 -.0172542 .0091083
22246 1 | -.0092793 .0063108 -1.47 0.142 -.0216707 .0031121
22247 1 | -.0104058 .0074624 -1.39 0.164 -.0250584 .0042468
22248 1 | -.0135413 .0085469 -1.58 0.114 -.0303234 .0032408
22249 1 | -.0129602 .0072651 -1.78 0.075 -.0272255 .0013051
22250 1 | -.0209287 .0079362 -2.64 0.009 -.0365117 -.0053457
22251 1 | -.0196172 .0060601 -3.24 0.001 -.0315165 -.007718
22252 1 | -.0113494 .005546 -2.05 0.041 -.0222391 -.0004596
22253 1 | -.0179151 .0057024 -3.14 0.002 -.029112 -.0067182
22254 1 | -.0086215 .0074029 -1.16 0.245 -.0231572 .0059143
22255 1 | -.0014953 .008377 -0.18 0.858 -.0179439 .0149532
22256 1 | -.0115046 .0072514 -1.59 0.113 -.025743 .0027338
22257 1 | -.0070427 .0070161 -1.00 0.316 -.0208191 .0067337
22258 1 | -.012663 .0062203 -2.04 0.042 -.0248766 -.0004493
22259 1 | -.0002986 .0050216 -0.06 0.953 -.0101588 .0095615
22260 1 | -.0121874 .006034 -2.02 0.044 -.0240353 -.0003395
22261 1 | -.003374 .0074019 -0.46 0.649 -.0179078 .0111599
22262 1 | -.0184383 .00887 -2.08 0.038 -.0358547 -.0010219
22263 1 | -.0148609 .0080017 -1.86 0.064 -.0305724 .0008506
22264 1 | -.0121513 .0074266 -1.64 0.102 -.0267336 .0024309
22265 1 | -.0266981 .0090346 -2.96 0.003 -.0444377 -.0089584
22266 1 | -.0119126 .0078075 -1.53 0.128 -.0272427 .0034176
22267 1 | -.0121467 .0059913 -2.03 0.043 -.0239109 -.0003826
22268 1 | -.0047228 .0067649 -0.70 0.485 -.0180059 .0085604
22269 1 | -.0020996 .0077531 -0.27 0.787 -.0173231 .0131239
22270 1 | -.0049637 .0074523 -0.67 0.506 -.0195964 .0096691
22271 1 | -.006379 .0068374 -0.93 0.351 -.0198044 .0070464
22272 1 | -.0139923 .0075882 -1.84 0.066 -.0288919 .0009074
22273 1 | -.0013843 .0062288 -0.22 0.824 -.0136147 .0108461
22274 1 | -.0063288 .0068417 -0.93 0.355 -.0197626 .007105
22275 1 | -.0108742 .0071681 -1.52 0.130 -.024949 .0032006
22276 1 | -.007296 .0074072 -0.98 0.325 -.0218403 .0072483
22277 1 | -.0116437 .0075577 -1.54 0.124 -.0264836 .0031961
22278 1 | -.0102686 .0072544 -1.42 0.157 -.0245128 .0039756
22279 1 | -.0111294 .0071788 -1.55 0.122 -.0252251 .0029663
22280 1 | -.0034829 .0060894 -0.57 0.568 -.0154396 .0084737
22281 1 | -.0191858 .0083582 -2.30 0.022 -.0355973 -.0027742
22282 1 | -.0058934 .0090505 -0.65 0.515 -.0236644 .0118775
22283 1 | -.0121037 .0079886 -1.52 0.130 -.0277896 .0035822
22284 1 | -.0119443 .0067849 -1.76 0.079 -.0252665 .001378
|
_cons | .0041367 .0023565 1.76 0.080 -.0004904 .0087637
-------------+----------------------------------------------------------------
sigma_u | .05373217
sigma_e | .0643553
rho | .41076238 (fraction of variance due to u_i)
------------------------------------------------------------------------------
Just wanted to add its for 96 days

[Andrew Musau]

Can you show the result of

format date %td
tab date treat

?

[Øyvind Snilsberg]

also, if you're using xtreg it should be,

xtset firm
xtreg movement_ch treat i.date, fe vce(cluster firm)

[Taiba Chau]

This is list:
| treat
date | 0 1 | Total
-----------+----------------------+----------
01oct2020 | 328 340 | 668
02oct2020 | 328 340 | 668
03oct2020 | 328 340 | 668
04oct2020 | 328 340 | 668
05oct2020 | 328 340 | 668
06oct2020 | 328 340 | 668
07oct2020 | 328 340 | 668
08oct2020 | 328 340 | 668
09oct2020 | 328 340 | 668
10oct2020 | 328 340 | 668
11oct2020 | 328 340 | 668
12oct2020 | 328 340 | 668
13oct2020 | 328 340 | 668
14oct2020 | 328 340 | 668
15oct2020 | 328 340 | 668
16oct2020 | 328 340 | 668
17oct2020 | 328 340 | 668
18oct2020 | 328 340 | 668
19oct2020 | 328 340 | 668
20oct2020 | 328 340 | 668
21oct2020 | 328 340 | 668
22oct2020 | 328 340 | 668
23oct2020 | 328 340 | 668
24oct2020 | 328 340 | 668
25oct2020 | 328 340 | 668
26oct2020 | 328 340 | 668
27oct2020 | 328 340 | 668
28oct2020 | 328 340 | 668
29oct2020 | 328 340 | 668
30oct2020 | 328 340 | 668
31oct2020 | 328 340 | 668
01nov2020 | 328 340 | 668
02nov2020 | 328 340 | 668
03nov2020 | 328 340 | 668
04nov2020 | 328 340 | 668
05nov2020 | 328 340 | 668
06nov2020 | 328 340 | 668
07nov2020 | 328 340 | 668
08nov2020 | 328 340 | 668
09nov2020 | 328 340 | 668
10nov2020 | 328 340 | 668
11nov2020 | 328 340 | 668
12nov2020 | 328 340 | 668
13nov2020 | 328 340 | 668
14nov2020 | 328 340 | 668
15nov2020 | 328 340 | 668
16nov2020 | 328 340 | 668
17nov2020 | 328 340 | 668
18nov2020 | 328 340 | 668
19nov2020 | 328 340 | 668
20nov2020 | 328 340 | 668
21nov2020 | 328 340 | 668
22nov2020 | 328 340 | 668
23nov2020 | 328 340 | 668
24nov2020 | 328 340 | 668
25nov2020 | 328 340 | 668
26nov2020 | 328 340 | 668
27nov2020 | 328 340 | 668
28nov2020 | 328 340 | 668
29nov2020 | 328 340 | 668
30nov2020 | 328 340 | 668
01dec2020 | 328 340 | 668
02dec2020 | 328 340 | 668
03dec2020 | 328 340 | 668
04dec2020 | 328 340 | 668
05dec2020 | 328 340 | 668
06dec2020 | 328 340 | 668
07dec2020 | 328 340 | 668
08dec2020 | 328 340 | 668
09dec2020 | 328 340 | 668
10dec2020 | 328 340 | 668
11dec2020 | 328 340 | 668
12dec2020 | 328 340 | 668
13dec2020 | 328 340 | 668
14dec2020 | 328 340 | 668
15dec2020 | 328 340 | 668
16dec2020 | 328 340 | 668
17dec2020 | 328 340 | 668
18dec2020 | 328 340 | 668
19dec2020 | 328 340 | 668
20dec2020 | 328 340 | 668
21dec2020 | 328 340 | 668
22dec2020 | 328 340 | 668
23dec2020 | 328 340 | 668
24dec2020 | 328 340 | 668
25dec2020 | 328 340 | 668
26dec2020 | 328 340 | 668
27dec2020 | 328 340 | 668
28dec2020 | 328 340 | 668
29dec2020 | 328 340 | 668
30dec2020 | 328 340 | 668
31dec2020 | 328 340 | 668
01jan2021 | 328 340 | 668
02jan2021 | 328 340 | 668
03jan2021 | 328 340 | 668
04jan2021 | 328 340 | 668
-----------+----------------------+----------
Total | 31,488 32,640 | 64,128

[Taiba Chau]

As for xtreg command. I ran it and got the following:

xtreg movement treat i.date, fe vce(cluster firm)
note: treat omitted because of collinearity.

Fixed-effects (within) regression Number of obs = 64,128
Group variable: firm Number of groups = 668

R-squared: Obs per group:
Within = 0.5651 min = 96
Between = . avg = 96.0
Overall = 0.4340 max = 96

F(95,667) = 955.35
corr(u_i, Xb) = -0.0000 Prob > F = 0.0000

(Std. err. adjusted for 668 clusters in firm)
------------------------------------------------------------------------------
| Robust
movement_ch | Coefficient std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
treat | 0 (omitted)
|
date |
22190 | -.0170139 .0024563 -6.93 0.000 -.021837 -.0121908
22191 | .0010412 .00318 0.33 0.743 -.0052029 .0072853
22192 | -.0098371 .0037211 -2.64 0.008 -.0171436 -.0025306
22193 | -.0308676 .0032776 -9.42 0.000 -.0373034 -.0244319
22194 | -.0299466 .0029504 -10.15 0.000 -.0357397 -.0241535
22195 | -.0422824 .0027374 -15.45 0.000 -.0476572 -.0369075
22196 | -.0202748 .0022418 -9.04 0.000 -.0246768 -.0158729
22197 | -.037446 .002706 -13.84 0.000 -.0427593 -.0321327
22198 | -.0296044 .0038623 -7.66 0.000 -.0371882 -.0220206
22199 | -.0279141 .0043758 -6.38 0.000 -.0365061 -.0193222
22200 | -.0762247 .0035347 -21.56 0.000 -.0831652 -.0692842
22201 | -.0455803 .0030892 -14.75 0.000 -.0516461 -.0395145
22202 | -.0407265 .002941 -13.85 0.000 -.0465012 -.0349518
22203 | -.0209662 .0023396 -8.96 0.000 -.02556 -.0163724
22204 | -.0520618 .0026941 -19.32 0.000 -.0573518 -.0467718
22205 | -.018805 .0035951 -5.23 0.000 -.0258641 -.011746
22206 | -.0124634 .0038144 -3.27 0.001 -.019953 -.0049738
22207 | -.0590057 .0033925 -17.39 0.000 -.0656669 -.0523444
22208 | -.0609073 .0033094 -18.40 0.000 -.0674054 -.0544093
22209 | -.0610257 .0028344 -21.53 0.000 -.0665911 -.0554603
22210 | -.0415403 .0026553 -15.64 0.000 -.046754 -.0363265
22211 | -.068384 .0027721 -24.67 0.000 -.073827 -.062941
22212 | -.0431383 .0035687 -12.09 0.000 -.0501456 -.036131
22213 | -.0633809 .0039486 -16.05 0.000 -.0711341 -.0556276
22214 | -.0816222 .0035894 -22.74 0.000 -.0886701 -.0745742
22215 | -.0851065 .003939 -21.61 0.000 -.0928409 -.0773722
22216 | -.0824943 .0032959 -25.03 0.000 -.0889659 -.0760227
22217 | -.08501 .0025687 -33.09 0.000 -.0900536 -.0799663
22218 | -.0468658 .002704 -17.33 0.000 -.0521753 -.0415564
22219 | -.0177906 .0031713 -5.61 0.000 -.0240176 -.0115637
22220 | -.0438066 .0038344 -11.42 0.000 -.0513354 -.0362777
22221 | -.0626464 .0034258 -18.29 0.000 -.0693731 -.0559197
22222 | -.0178328 .0031996 -5.57 0.000 -.0241153 -.0115504
22223 | -.0691782 .0028372 -24.38 0.000 -.0747491 -.0636073
22224 | -.0486279 .0022847 -21.28 0.000 -.053114 -.0441419
22225 | -.069242 .0026884 -25.76 0.000 -.0745207 -.0639633
22226 | -.0520805 .0031209 -16.69 0.000 -.0582085 -.0459525
22227 | -.049994 .0035008 -14.28 0.000 -.0568678 -.0431202
22228 | -.0712963 .0036052 -19.78 0.000 -.0783753 -.0642173
22229 | -.0689047 .0033558 -20.53 0.000 -.0754939 -.0623156
22230 | -.1176955 .0032609 -36.09 0.000 -.1240984 -.1112927
22231 | -.1024663 .0027285 -37.55 0.000 -.1078239 -.0971088
22232 | -.0913621 .0028713 -31.82 0.000 -.0969999 -.0857243
22233 | -.1003753 .0037271 -26.93 0.000 -.1076937 -.093057
22234 | -.1128801 .0042437 -26.60 0.000 -.1212127 -.1045475
22235 | -.0837154 .0034976 -23.94 0.000 -.090583 -.0768478
22236 | -.0767192 .0035234 -21.77 0.000 -.0836376 -.0698009
22237 | -.0888787 .003079 -28.87 0.000 -.0949244 -.082833
22238 | -.0679674 .0025301 -26.86 0.000 -.0729353 -.0629995
22239 | -.0839954 .0030427 -27.61 0.000 -.0899698 -.0780211
22240 | -.0892678 .0039239 -22.75 0.000 -.0969725 -.0815631
22241 | -.1182588 .0043823 -26.99 0.000 -.1268636 -.1096541
22242 | -.0798987 .0039022 -20.48 0.000 -.0875608 -.0722365
22243 | -.0665693 .0038263 -17.40 0.000 -.0740823 -.0590562
22244 | -.0405948 .0034725 -11.69 0.000 -.0474132 -.0337764
22245 | -.3662191 .0033535 -109.21 0.000 -.3728037 -.3596344
22246 | -.2186523 .0031541 -69.32 0.000 -.2248455 -.2124592
22247 | -.1487229 .0037289 -39.88 0.000 -.1560448 -.1414011
22248 | -.1043871 .0042776 -24.40 0.000 -.1127863 -.0959879
22249 | -.1115932 .0036381 -30.67 0.000 -.1187367 -.1044497
22250 | -.0767026 .0039814 -19.27 0.000 -.0845203 -.068885
22251 | -.1001831 .0030552 -32.79 0.000 -.1061821 -.0941842
22252 | -.0633819 .0027758 -22.83 0.000 -.0688322 -.0579315
22253 | -.0970169 .0028694 -33.81 0.000 -.1026509 -.0913828
22254 | -.097841 .003701 -26.44 0.000 -.1051081 -.0905739
22255 | -.1123135 .0041832 -26.85 0.000 -.1205274 -.1040997
22256 | -.1005913 .0036389 -27.64 0.000 -.1077364 -.0934462
22257 | -.0888029 .0035149 -25.26 0.000 -.0957045 -.0819014
22258 | -.0921318 .0031186 -29.54 0.000 -.0982553 -.0860084
22259 | -.0687849 .0025092 -27.41 0.000 -.0737118 -.0638581
22260 | -.0980062 .0030199 -32.45 0.000 -.1039359 -.0920766
22261 | -.0865401 .0036963 -23.41 0.000 -.0937979 -.0792823
22262 | -.1152394 .0044413 -25.95 0.000 -.12396 -.1065187
22263 | -.1168955 .0040099 -29.15 0.000 -.1247691 -.1090219
22264 | -.0768421 .0037227 -20.64 0.000 -.0841517 -.0695324
22265 | -.145212 .0045519 -31.90 0.000 -.1541499 -.1362742
22266 | -.0956058 .0039138 -24.43 0.000 -.1032907 -.0879209
22267 | -.0824913 .0029963 -27.53 0.000 -.0883747 -.0766079
22268 | -.0546942 .0033777 -16.19 0.000 -.0613265 -.0480619
22269 | -.0732965 .0038778 -18.90 0.000 -.0809107 -.0656822
22270 | -.0415035 .0037264 -11.14 0.000 -.0488205 -.0341865
22271 | -.026318 .0034254 -7.68 0.000 -.0330438 -.0195921
22272 | -.0081635 .0038094 -2.14 0.032 -.0156434 -.0006837
22273 | -.1292664 .003114 -41.51 0.000 -.1353807 -.1231521
22274 | -.4845792 .0034212 -141.64 0.000 -.4912968 -.4778616
22275 | -.2102895 .0035813 -58.72 0.000 -.2173215 -.2032575
22276 | -.1415161 .0037023 -38.22 0.000 -.1487857 -.1342465
22277 | -.114416 .0037874 -30.21 0.000 -.1218526 -.1069794
22278 | -.1187575 .0036335 -32.68 0.000 -.1258919 -.111623
22279 | -.1284178 .0035915 -35.76 0.000 -.1354698 -.1213657
22280 | -.0838294 .0030462 -27.52 0.000 -.0898107 -.0778481
22281 | -.3975649 .0041927 -94.82 0.000 -.4057973 -.3893324
22282 | -.1781178 .0045118 -39.48 0.000 -.1869769 -.1692588
22283 | -.144411 .0039966 -36.13 0.000 -.1522583 -.1365636
22284 | -.0773569 .0033979 -22.77 0.000 -.0840289 -.070685
|
_cons | .0041367 .0023643 1.75 0.081 -.0005058 .0087791
-------------+----------------------------------------------------------------
sigma_u | .05334815
sigma_e | .06436563
rho | .40721731 (fraction of variance due to u_i)
------------------------------------------------------------------------------

I am wondering how I would interpret this? Are the results significant? How does this relate to the difference in difference?

[Andrew Musau]

As Øyvind Snilsberg states in #2, you require a pre-period in DID. From the results of the tabulation #8, it appears that the treatment is initiated at the start of the period. So DID may not be the way to go here.

[Taiba Chau]

Right, so would I use a simple regression, like this:
regress movement_ch i.date##i.treat i.date,robust

[Andrew Musau]

You can do a descriptive analysis examining differences in means between the two groups of firms and controlling for time effects.

regress movement treated i.date, cluster(firm)

[Taiba Chau]

regress movement i.date##i.treated i.date,robust
I thought with the regression I suggested the date and treat interaction term would give the difference as well. Then the i.date would be the time fixed effect. I thought this would work then. Could I do then:
regress movement i.date##i.treated i.date,cluster(firm)

Could I also run:
regress movement i.date##i.treated i.date treat,cluster(firm)

I am wondering what the difference would be between these then?

[Jeff Wooldridge]

To follow up on Andrew’s comment: with a balanced panel and estimating one effect, it’s the same as collapsing the panel to a cross section by averaging within each firm. Do you have control variables?

[Andrew Musau]

You can interact the group indicator with the time indicators. Then the coefficient of an interaction will represent the difference in the effect from the reference time period.

regress movement i.date##i.treated,cluster(firm)

The coefficient on treated will be the effect in the reference period and the interactions as detailed above. No need to add "i.date" or "i.treat" separately as the double hash in the factor variable notation already does this. See

help fvvarlist

Note: Crossed with #14. As firm fixed effects cannot be added, I agree with Jeff's comment to include control variables to capture as much of the heterogeneity as possible.