Dear Statalisters,
I am having omission of regression coefficients due to collinearity in an event-study analysis. I am using district-level panel data.

For my Event study regression, I proceeded as follows:
1. I define two indicator variables, the first is for one year after treatment and the other is for one year before treatment. So, for a district in which treatment happened in 2006 say, I'm having an indicator for 2005 as being the year before treatment and 2007 as the year after treatment.
2. I am only using the three years of data for the district centered around its treatment year. So, sticking with the example of a district opening in 2006, I am using data from that district for the years 2005, 2006, and 2007 only. All other years for this district are dropped from the analysis. Hence, I have a balanced panel. Each district will have three years of data, but the three years included for each district will vary by district.

Here is the data sample:
Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input double district float year int treatmentyear byte(onebefore treatmentyearevent oneafter) double output
10311 2009 2008 0 0 1           10997127
10311 2008 2008 0 1 0           10263347
10311 2007 2008 1 0 0            7157395
10313 2009 2008 0 0 1           32174431
10313 2008 2008 0 1 0           31922877
10313 2007 2008 1 0 0           20902644
10511 2008 2007 0 0 1            5190128
10511 2007 2007 0 1 0            2483258
10511 2006 2007 1 0 0            1543567
10515 2008 2007 0 0 1            2467145
10515 2007 2007 0 1 0            1218880
10515 2006 2007 1 0 0             622912
10517 2008 2007 0 0 1            9245827
10517 2007 2007 0 1 0            5592740
10517 2006 2007 1 0 0            3781691
10521 2009 2008 0 0 1            6452216
10521 2008 2008 0 1 0            4272063
10521 2007 2008 1 0 0            2266553
10527 2012 2011 0 0 1 2285181.7995331287
10527 2011 2011 0 1 0  2159072.699913025
10527 2010 2011 1 0 0            1754932
10701 2004 2003 0 0 1            4073798
10701 2003 2003 0 1 0            3215059
10701 2002 2003 1 0 0            2270777
10703 2007 2006 0 0 1            1448312
10703 2006 2006 0 1 0             649834
10703 2005 2006 1 0 0             595683
10711 2007 2006 0 0 1             570822
10711 2006 2006 0 1 0             501945
10711 2005 2006 1 0 0             274273
10717 2006 2005 0 0 1            2415248
10717 2005 2005 0 1 0            2620946
10717 2004 2005 1 0 0            2125851
10903 2008 2007 0 0 1            4548873
10903 2007 2007 0 1 0            3447862
10903 2006 2007 1 0 0            2313126
10905 2009 2008 0 0 1             771627
10905 2008 2008 0 1 0             439136
10905 2007 2008 1 0 0             436146
10909 2011 2010 0 0 1 1105832.5000915527
10909 2010 2010 0 1 0             319740
10909 2009 2010 1 0 0             528248
11101 2007 2006 0 0 1            3771011
11101 2006 2006 0 1 0            2764468
11101 2005 2006 1 0 0            2171111
11103 2008 2007 0 0 1            2639729
11103 2007 2007 0 1 0            1506677
11103 2006 2007 1 0 0             733102
11301 2003 2002 0 0 1            4940093
11301 2002 2002 0 1 0            4377711
11301 2001 2002 1 0 0            3666350
11303 2009 2008 0 0 1             427574
11303 2008 2008 0 1 0             370241
11303 2007 2008 1 0 0             229208
11317 2016 2015 0 0 1            2179215
11317 2015 2015 0 1 0            2349366
11317 2014 2015 1 0 0  2145403.699951172
11501 2003 2002 0 0 1            2841519
11501 2002 2002 0 1 0            2221096
11501 2001 2002 1 0 0            1902339
11503 2011 2010 0 0 1  6064693.299743652
11503 2010 2010 0 1 0            4796533
11503 2009 2010 1 0 0            1403027
11509 2007 2006 0 0 1             845161
11509 2006 2006 0 1 0             506974
11509 2005 2006 1 0 0             404228
11701 2011 2010 0 0 1           26754995
11701 2010 2010 0 1 0           21081781
11701 2009 2010 1 0 0           12932518
11703 2009 2008 0 0 1            7338138
11703 2008 2008 0 1 0           12183892
11703 2007 2008 1 0 0            5549341
11707 2010 2009 0 0 1            6512476
11707 2009 2009 0 1 0            1487311
11707 2008 2009 1 0 0             869042
11713 2012 2011 0 0 1            3211529
11713 2011 2011 0 1 0            1980381
11713 2010 2011 1 0 0            1110997
20103 2017 2016 0 0 1              72258
20103 2016 2016 0 1 0 100539.60000610352
20103 2015 2016 1 0 0              58667
20115 2007 2006 0 0 1             240739
20115 2006 2006 0 1 0             108612
20115 2005 2006 1 0 0              84235
20301 2016 2015 0 0 1  7219632.999850273
20301 2015 2015 0 1 0  6591344.000009179
20301 2014 2015 1 0 0  7412385.699951172
20501 2003 2002 0 0 1            1953630
20501 2002 2002 0 1 0            1520629
20501 2001 2002 1 0 0            1125519
20511 2012 2011 0 0 1  4908541.599914551
20511 2011 2011 0 1 0  3874276.299987793
20511 2010 2011 1 0 0            1877709
20917 2015 2014 0 0 1 1177131.4000015259
20917 2014 2014 0 1 0            1064612
20917 2013 2014 1 0 0             691924
21101 2007 2006 0 0 1            1768123
21101 2006 2006 0 1 0            1399262
21101 2005 2006 1 0 0            1189413
21301 2009 2008 0 0 1            4403553
end

Using that sub-sample of data, I am running the regression

Code:
reghdfe Y onebefore oneafter, absorb (district year) cluster(district)
where onebefore is an indicator variable for the observation being one year before treatment and oneafter is an indicator for being one year after treatment.

When I run this regression, the coefficient on oneafter is being omitted. Is it logical? I did not expect it as I am already omitting the year of treatment indicator and I do not have any district where all the three event indicators have same value. Is there a way to fix this?

When I run with 5 year-year period centered around the zone opening year, one year is still being dropped despite the fact that I am not including the treatment year indicator.

Thank you,
Marina