Greetings,
I have encountered the following issue: I am estimating a DID fixed effects model with 2 periods (pre-intervention and post-intervention) for 2 groups of commodities (control and treatment).
However, upon estimating, I have faced the situation, when sometimes the app does not calculate the standard errors for me at all. However, this time I got a functioning output with standard errors, but for some reason the pretrend test does not seem to work for me (it returns spurious results with (F 1,1), which is simply impossible). I have balanced monthly panel data from 2020m1 to 2023m7. The code is attached below. No way to get the testing output right. Could anyone advise me, what can be the issue here? Thank you in advance!
I have encountered the following issue: I am estimating a DID fixed effects model with 2 periods (pre-intervention and post-intervention) for 2 groups of commodities (control and treatment).
However, upon estimating, I have faced the situation, when sometimes the app does not calculate the standard errors for me at all. However, this time I got a functioning output with standard errors, but for some reason the pretrend test does not seem to work for me (it returns spurious results with (F 1,1), which is simply impossible). I have balanced monthly panel data from 2020m1 to 2023m7. The code is attached below. No way to get the testing output right. Could anyone advise me, what can be the issue here? Thank you in advance!
Code:
Panel variable: ID (strongly balanced)
Time variable: Month, 2020m1 to 2023m7
Delta: 1 month
. didregress (Value) (Interaction), group(Group) time(Month)
Treatment and time information
Time variable: Month
Control: Interaction = 0
Treatment: Interaction = 1
-----------------------------------
| Control Treatment
-------------+---------------------
Group |
Group | 1 1
-------------+---------------------
Time |
Minimum | 720 746
Maximum | 720 746
-----------------------------------
Difference-in-differences regression Number of obs = 86
Data type: Repeated cross-sectional
(Std. err. adjusted for 2 clusters in Group)
------------------------------------------------------------------------------
| Robust
Value | Coefficient std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
ATET |
Interaction |
(1 vs 0) | 2.72046 7.41e-09 3.7e+08 0.000 2.72046 2.72046
------------------------------------------------------------------------------
Note: ATET estimate adjusted for group effects and time effects.
. estat trendplots
. estat ptrends
Parallel-trends test (pretreatment time period)
H0: Linear trends are parallel
F(1, 1) = 2.38e+08
Prob > F = 0.0000
. estat granger
Granger causality test
H0: No effect in anticipation of treatment
F(0, 1) = .
Prob > F = .
