xthdidregress event studies- baseline(common) feature

[Andy Hyatt]

Hi everyone,
I've been using xthdidregress for some staggered difference-in-difference projects in order to take advantage of the Callaway Sant'Anna estimator. However, as has been noted previously, there have been issues with the event studies produced by the command, specifically that the pretend ATT estimates were not fixed to t-1 (period before treatment) as is the standard in event study presentations. I've played around with csdid and understand I can use the long2 option in that command to produce what I'm looking for, but am curious to compare to the native Stata command. The data I'm using is in a restricted environment, so will use the sample data to demonstrate:

use https://www.stata-press.com/data/r18/akc
xtset breed year
quietly xthdidregress ra (registered) (movie), group(breed) 
estat aggregation, dynamic

. use https://www.stata-press.com/data/r18/akc, clear
(Fictional dog breed and AKC registration data)

. xtset breed year

Panel variable: breed (strongly balanced)
 Time variable: year, 2031 to 2040
         Delta: 1 unit

. quietly xthdidregress ra (registered) (movie), group(breed) 

. estat aggregation, dynamic

Duration of exposure ATET                                Number of obs = 1,410

                                (Std. err. adjusted for 141 clusters in breed)
------------------------------------------------------------------------------
             |               Robust
    Exposure |       ATET   std. err.      z    P>|z|     [95% conf. interval]
-------------+----------------------------------------------------------------
          -5 |  -91.45434    159.468    -0.57   0.566    -404.0058    221.0971
          -4 |  -92.56303   153.2523    -0.60   0.546     -392.932     207.806
          -3 |  -10.44304   152.6681    -0.07   0.945     -309.667    288.7809
          -2 |   17.20474   142.2066     0.12   0.904    -261.5151    295.9245
          -1 |   32.04316   130.2186     0.25   0.806    -223.1806     287.267
           0 |   1441.897   205.4639     7.02   0.000     1039.195    1844.599
           1 |   1749.923    221.871     7.89   0.000     1315.064    2184.782
           2 |   2167.487   218.3947     9.92   0.000     1739.441    2595.533
           3 |   2653.018   284.8181     9.31   0.000     2094.785    3211.252
           4 |    2372.01   274.5426     8.64   0.000     1833.916    2910.103
           5 |   2663.019   528.9573     5.03   0.000     1626.282    3699.756
           6 |   3087.811   587.8304     5.25   0.000     1935.685    4239.937
------------------------------------------------------------------------------

So in the standard command, pre-treatment ATTs are not normed to t-1. In the past, I had used a user-written command called eventbaseline to normalize these, which would produce output like the following:

. quietly xthdidregress ra (registered) (movie), group(breed) 

. quietly estat aggregation, dynamic

. eventbaseline, pre(5) post(5) baseline(-1)

Event study relative to -1               Number of obs = 1,391

------------------------------------------------------------------------------
  registered |       ATET   Std. err.      z    P>|z|     [95% conf. interval]
-------------+----------------------------------------------------------------
          -5 |   53.75817   147.2466     0.37   0.715    -234.8398    342.3561
          -4 |  -38.80486   165.1085    -0.24   0.814    -362.4115    284.8018
          -3 |   -49.2479   176.8549    -0.28   0.781     -395.877    297.3812
          -2 |  -32.04316   130.2186    -0.25   0.806     -287.267    223.1806
          -1 |          0  (omitted)
           0 |   1441.897   205.4639     7.02   0.000     1039.195    1844.599
           1 |   1749.923    221.871     7.89   0.000     1315.064    2184.782
           2 |   2167.487   218.3947     9.92   0.000     1739.441    2595.533
           3 |   2653.018   284.8181     9.31   0.000     2094.785    3211.252
           4 |    2372.01   274.5426     8.64   0.000     1833.916    2910.103
           5 |   2663.019   528.9573     5.03   0.000     1626.282    3699.756
------------------------------------------------------------------------------

I'm not sure how reliable this command was, so I was excited to see in another post there was an option called basetime(common) that was just added which should fix this and norm the pre-period ATTs to t-1.

quietly xthdidregress ra (registered) (movie), group(breed) basetime(common)

. estat aggregation, dynamic

Duration of exposure ATET                                Number of obs = 1,410

                                (Std. err. adjusted for 141 clusters in breed)
------------------------------------------------------------------------------
             |               Robust
    Exposure |       ATET   std. err.      z    P>|z|     [95% conf. interval]
-------------+----------------------------------------------------------------
          -6 |   79.31597   198.9669     0.40   0.690    -310.6521     469.284
          -5 |  -80.20635   143.2517    -0.56   0.576    -360.9746    200.5619
          -4 |  -172.7694    169.218    -1.02   0.307    -504.4305    158.8917
          -3 |   -49.2479   176.8549    -0.28   0.781     -395.877    297.3812
          -2 |  -32.04316   130.2186    -0.25   0.806     -287.267    223.1806
           0 |   1441.897   205.4639     7.02   0.000     1039.195    1844.599
           1 |   1749.923    221.871     7.89   0.000     1315.064    2184.782
           2 |   2167.487   218.3947     9.92   0.000     1739.441    2595.533
           3 |   2653.018   284.8181     9.31   0.000     2094.785    3211.252
           4 |    2372.01   274.5426     8.64   0.000     1833.916    2910.103
           5 |   2663.019   528.9573     5.03   0.000     1626.282    3699.756
           6 |   3087.811   587.8304     5.25   0.000     1935.685    4239.937
------------------------------------------------------------------------------
Note: Base time for pretreatment ATETs is the last pretreatment period.
Note: Exposure is the number of periods since the first treatment time.

I ran it, and as we can see t-1 is now omitted. However, the pre-treatment ATTs do not line up with eventbaseline (above), and in addition I'm confused as to why there is now an exposure -6 time period when in the original dynamic results (first code example) there are no estimates for anything before t-5. Has anyone run into this when using the command?

In addition, how confident should we feel that this is similar enough to the long2 option in csdid/csdid2? My original data showed some discrepancies there as well, and I can try to work up some sample data here to demonstrate if that's the case.

Thank you!