Dear all,

I read through many discussions concerning difference in differences analyses but have not quite found an answer.

I have data on several industries and years before and after a law was changed for some of these industries. Thus, I want to do a DID analysis.

Originally, I want to analyze all years prior and after the law was changed. From reading previous discussions I got the sense that this would be the appropriate DID command:

Code:
xtreg DepVar i.year i.treated##i.period, fe robust
where DepVar is the dependent variable, year the years, treated a dummy denoting which industry is in the treatment group and period a dummy for when the treatment was switched on.

In a second step I wand to focus just on the two years between which the change was implemented. However, I am wondering which of the following commands is correct:

Code:
xtreg DepVar i.treated##i.period, fe robust
or
Code:
reg DepVar i.treated##i.period, robust
or
Code:
reg DepVar i.treated##i.period i.industry, robust
where industry is a dummy denoting each industry?

They all give the same results but the standard errors are different. So I don´t know which one to trust.

I would really appreciate if someone could clear up my confusion!

Thanks a lot!

All the best
Leon