Reproducible example below using a panel of three states from 2001 to 2005. State 1's treatment begins in 2003. The point estimates of interest using -xthdidregress- and -regress- are identical, but their standard errors differ.
Code:
clear all input state year gdp post2003 treatmentGroup treated 1 2001 100 0 1 0 1 2002 115 0 1 0 1 2003 95 1 1 1 1 2004 87 1 1 1 1 2005 73 1 1 1 2 2001 113 0 0 0 2 2002 117 0 0 0 2 2003 121 1 0 0 2 2004 125 1 0 0 2 2005 129 1 0 0 3 2001 47 0 0 0 3 2002 53 0 0 0 3 2003 59 1 0 0 3 2004 62 1 0 0 3 2005 66 1 0 0 end *Set panel xtset state year, yearly
Code:
*xthdidregress using default VCE
xthdidregress twfe (gdp) (treated), group(state) hettype(time)
note: variable _did_cohort, containing cohort indicators formed by treatment variable treated and group variable state, was added to the dataset.
Computing ATETs using margins ...
Treatment and time information
Time variable: year
Time interval: 2001 to 2005
Control: _did_cohort = 0
Treatment: _did_cohort > 0
-------------------------------
| _did_cohort
------------------+------------
Number of cohorts | 2
------------------+------------
Number of obs |
Never treated | 10
2003 | 5
-------------------------------
Heterogeneous-treatment-effects regression Number of obs = 15
Number of panels = 3
Estimator: Two-way fixed effects
Panel variable: state
Treatment level: state
Control group: Never treated
Heterogeneity: Time
(Std. err. adjusted for 3 clusters in state)
------------------------------------------------------------------------------
| Robust
Time | ATET std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
year |
2003 | -20 1.984313 -10.08 0.010 -28.53781 -11.46219
2004 | -31.5 1.322876 -23.81 0.002 -37.19187 -25.80813
2005 | -49.5 1.322876 -37.42 0.001 -55.19187 -43.80813
------------------------------------------------------------------------------Code:
*xthdidregress explicitly specifying default VCE
xthdidregress twfe (gdp) (treated), group(state) hettype(time) vce(cluster state)
note: variable _did_cohort, containing cohort indicators formed by treatment variable treated and group variable state, was added to the dataset.
Computing ATETs using margins ...
Treatment and time information
Time variable: year
Time interval: 2001 to 2005
Control: _did_cohort = 0
Treatment: _did_cohort > 0
-------------------------------
| _did_cohort
------------------+------------
Number of cohorts | 2
------------------+------------
Number of obs |
Never treated | 10
2003 | 5
-------------------------------
Heterogeneous-treatment-effects regression Number of obs = 15
Number of panels = 3
Estimator: Two-way fixed effects
Panel variable: state
Treatment level: state
Control group: Never treated
Heterogeneity: Time
(Std. err. adjusted for 3 clusters in state)
------------------------------------------------------------------------------
| Robust
Time | ATET std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
year |
2003 | -20 1.984313 -10.08 0.010 -28.53781 -11.46219
2004 | -31.5 1.322876 -23.81 0.002 -37.19187 -25.80813
2005 | -49.5 1.322876 -37.42 0.001 -55.19187 -43.80813
------------------------------------------------------------------------------Code:
*regress
reg gdp treated#i(2003/2005).year post2003 treatmentGroup i.state i.year, vce(cluster state)
note: 3.state omitted because of collinearity.
note: 2005.year omitted because of collinearity.
Linear regression Number of obs = 15
F(2, 2) = .
Prob > F = .
R-squared = 0.9967
Root MSE = 2.7544
(Std. err. adjusted for 3 clusters in state)
--------------------------------------------------------------------------------
| Robust
gdp | Coefficient std. err. t P>|t| [95% conf. interval]
---------------+----------------------------------------------------------------
treated#year |
1 2003 | -20 2.173707 -9.20 0.012 -29.3527 -10.6473
1 2004 | -31.5 1.449138 -21.74 0.002 -37.73514 -25.26486
1 2005 | -49.5 1.449138 -34.16 0.001 -55.73514 -43.26486
|
post2003 | 19.16667 3.392803 5.65 0.030 4.568614 33.76472
treatmentGroup | 56.8 1.014396 55.99 0.000 52.4354 61.1646
|
state |
2 | 63.6 2.70e-14 2.4e+15 0.000 63.6 63.6
3 | 0 (omitted)
|
year |
2002 | 8.333333 5.660781 1.47 0.279 -16.02304 32.68971
2003 | -7.5 .7245688 -10.35 0.009 -10.61757 -4.382432
2004 | -4 2.36e-08 -1.7e+08 0.000 -4 -4
2005 | 0 (omitted)
|
_cons | 46.53333 3.165456 14.70 0.005 32.91348 60.15319
--------------------------------------------------------------------------------
0 Response to Standard errors with new -xthdidregress- command in Stata 18
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