Dear Stata users,
I have a practical issue concerning the use of dummy variables in a difference-in-difference model with fixed effects. Usually, all dummies that a collinear with the fixed effects will be omitted and their coefficient and significance cannot be interpreted in the regression output. But I regularly view papers which the treatment dummy in DiD models with fixed effects that to my understanding ought to get omitted. See this paper (https://www.sciencedirect.com/scienc...72308914000485) where the treatment dummy "affected bank" in table 3 on p. 274 is reported despite the use of individual fixed effects.

Regarding my regressions, I observe some inconsistencies with the time dummy for periods after the treatment applies. I estimate the following difference-in-difference model using individual and time fixed effects (abbreviated code below) and as robustness country and time fixed effects:
Code:
xtreg depvar indepvar i.post15 i.treated i.post15##i.treated controls i.year, fe vce(cluster idno)
I receive the following output where only the treated-dummy is omitted but not the time dummy:
Code:
-----------------------------------------------------------------------------------
                   |               Robust
   depvar |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------------+----------------------------------------------------------------
          1.post15 |   .5214625   .0472556    11.03   0.000     .4286728    .6142523
     1.treated |          0  (omitted)
                   |
post15#treated |
              1 1  |   .6011524   .1515873     3.97   0.000     .3035001    .8988048
                   |
               yr2 |
             2011  |   .0337759   .0125834     2.68   0.007     .0090674    .0584844
             2012  |   .0820242   .0163258     5.02   0.000     .0499674     .114081
             2013  |   .1399963   .0164042     8.53   0.000     .1077855     .172207
             2015  |  -.0378953   .0176233    -2.15   0.032    -.0724999   -.0032907
             2016  |  -.0232412    .016611    -1.40   0.162     -.055858    .0093756
             2017  |   .0219256   .0145132     1.51   0.131    -.0065721    .0504232
             2018  |          0  (omitted)
                   |
             _cons |    3.72202   .0229494   162.18   0.000     3.676957    3.767082
-------------------+----------------------------------------------------------------
           sigma_u |  1.1245096
           sigma_e |  .60822459
               rho |  .77366385   (fraction of variance due to u_i)
------------------------------------------------------------------------------------
When I change the order of the code for the regressions like this...
Code:
 xtreg depvar indepvar i.year i.post15 i.treated i.post15##i.treated controls, fe vce(cluster id)
...I receive results where the time dummy (post15) for periods after 2015 is omitted:
Code:
-----------------------------------------------------------------------------------
                   |               Robust
   depvar |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------------+----------------------------------------------------------------
               yr2 |
             2011  |   .0337759   .0125834     2.68   0.007     .0090674    .0584844
             2012  |   .0820242   .0163258     5.02   0.000     .0499674     .114081
             2013  |   .1399963   .0164042     8.53   0.000     .1077855     .172207
             2015  |   .4835672   .0454511    10.64   0.000     .3943209    .5728136
             2016  |   .4982213   .0461855    10.79   0.000     .4075328    .5889099
             2017  |   .5433881   .0452527    12.01   0.000     .4545313    .6322449
             2018  |   .5214625   .0472556    11.03   0.000     .4286728    .6142523
                   |
          1.post15 |          0  (omitted)
     1.treated |          0  (omitted)
                   |
post15#govsupp2_50 |
              1 1  |   .6011524   .1515873     3.97   0.000     .3035001    .8988048
                   |
             _cons |    3.72202   .0229494   162.18   0.000     3.676957    3.767082
-------------------+----------------------------------------------------------------
           sigma_u |  1.1245096
           sigma_e |  .60822459
               rho |  .77366385   (fraction of variance due to u_i)
------------------------------------------------------------------------------------
Q1: Why does the order of the dummies in the code matter for collinearity?

When I consider the cited paper above where a treated dummy is reported in a model with individual fixed effects, I wonder how the authors performed the regressions. I can think of the following code for multiple levels of fixed effects:
Code:
 reghdfe depvar indepvar i.year i.post15 i.treated i.post15##i.treated controls, absorb(id year) vce(cluster id)
To report the treated dummy, one would to my understanding need to re-estimate the model with only time fixed effects. The results would then stem from two different models and would need to be combined afterward.

Q2: How to estimate a treatment dummy (for individuals who receive treatment =1, otherwise =0) with individual fixed effects.


I would appreciate your help.
Regards,
Julian