Interrupted time series analysis

[Shinji Masuda]

Hi, I am performing interrupted time series analysis to assess the impact of a financial regulation on equity analyst performance. I have a sample data of 100 companies that contains independent variable (estimates) and control variables. The sample period ranges from 2008 to 2023, and the intervention occurred in 2017. The code I performed is the following:

xtitsa estimates mktcap turn pbr roe, single treat(post) trperiod(2017) posttrend figure

This returned a table and a graph as a result.
However it states "note: _x2017 omitted because of collinearity", so the coefficient of _x2017 is not found, and the plots on the graph before the intervention cannot be found as well.

Therefore, may I ask why this occurs and the ways of rectifying it, please?

Thank you for your assisstance

[Jared Greathouse]

Please show me the output of

dataex, count(500)

Also, which unit is the treated unit?

[Shinji Masuda]

Hi, below is a part of the output. The treated unit is company, which is companyid in the output below. Thank you

* Example generated by -dataex-. For more info, type help dataex
clear
input str37 firmname int year byte estimates float(mktcap turn pbr roe accuracy rating companyid) byte(post t ti ttipost) float(_estimates _t _x2017 _x_t2017 _s__estimates_pred)
"ABC-Mart Inc"                          2008  5 26.196955  19.17612         0     .23   .03093     1.8  1 0  0 9 0  5  0 0 0  8.620347
"ABC-Mart Inc"                          2009  7  25.88919 19.676947         0    .258   .03063 2.33333  1 0  1 9 0  7  1 0 0  9.048632
"ABC-Mart Inc"                          2010  8 25.912775 19.164017         0    .225  -.01295 1.71429  1 0  2 9 0  8  2 0 0  8.561778
"ABC-Mart Inc"                          2011 11 26.226343  19.59152  3.382583    .244   .12177 2.81818  1 0  3 9 0 11  3 0 0   10.0054
"ABC-Mart Inc"                          2012  8 26.224865 18.587948    2.7105    .252   .04173     2.5  1 0  4 9 0  8  4 0 0  8.931646
"ABC-Mart Inc"                          2013  8  26.09654  19.94045 2.3447683    .182   .01988 2.66667  1 0  5 9 0  8  5 0 0  9.851609
"ABC-Mart Inc"                          2014 10   26.2187 20.724035  2.224974    .172  -.06174     2.3  1 0  6 9 0 10  6 0 0 10.430674
"ABC-Mart Inc"                          2015 11  26.43844  21.21248 2.3066823    .166   .00524 2.45455  1 0  7 9 0 11  7 0 0  10.83045
"ABC-Mart Inc"                          2016 10  26.94976  20.82018  3.262643     .17  -.01079 2.36364  1 0  8 9 0 10  8 0 0 10.781867
"ABC-Mart Inc"                          2017  8  27.00672   20.7125  2.636871    .146   .03056     2.5  1 1  9 9 0  8  9 1 0 10.438926
"ABC-Mart Inc"                          2018  6  27.04896  20.44272 2.5458224    .134  -.01372 2.83333  1 1 10 9 1  6 10 1 1 10.146377
"ABC-Mart Inc"                          2019  8  27.05338  20.71296 2.3219025    .129   .02824   2.875  1 1 11 9 2  8 11 1 2 10.269884
"ABC-Mart Inc"                          2020  7 26.989626  20.59995 2.0379303    .121  -.00822 2.85714  1 1 12 9 3  7 12 1 3   10.0519
"ABC-Mart Inc"                          2021  9  26.95462  20.69613 1.8784825    .112  -.02029       3  1 1 13 9 4  9 13 1 4  10.04764
"ABC-Mart Inc"                          2022  9 26.938255 20.658476 1.8016655  .07009   .15264 2.77778  1 1 14 9 5  9 14 1 5  9.925069
"ABC-Mart Inc"                          2023 10 26.741974 20.910154 1.4509232    .062  -.15195     2.4  1 1 15 9 6 10 15 1 6  9.992877