Implementing the Panel Event Study

32 Pages Posted: 29 Jul 2020 Last revised: 16 Apr 2023

See all articles by Damian Clarke

Damian Clarke

University of Oxford - Department of Economics; Market Imperfections and Public Policy (MiPP); University of Exeter; University of Chile

Kathya Schythe

affiliation not provided to SSRN

Abstract

Many studies estimate the impact of exposure to some quasi-experimental policy or event using a panel event study design. These models, as a generalized extension of 'difference-in-differences' or two-way fixed effect models, allow for dynamic lags and leads to the event of interest to be estimated, while also controlling for fixed factors (often) by area and time. In this paper we discuss the set-up of the panel event study design in a range of situations, and lay out a number of practical considerations for its estimation. We describe a Stata command eventdd that allows for simple estimation, inference, and visualization of event study models in a range of circumstances. We then provide a number of examples to illustrate eventdd's use and flexibility, as well as its interaction with various native Stata routines, and other relevant user-written libraries such as reghdfe and boottest.

Keywords: inference, event studies, difference-in-differences, estimation, visualization

JEL Classification: C1, C13, C51, C54, C63, C87

Suggested Citation

Clarke, Damian and Schythe, Kathya, Implementing the Panel Event Study. IZA Discussion Paper No. 13524, Available at SSRN: https://ssrn.com/abstract=3660271 or http://dx.doi.org/10.2139/ssrn.3660271

Damian Clarke (Contact Author)

University of Oxford - Department of Economics ( email )

Manor Road Building
Manor Road
Oxford, OX1 3BJ
United Kingdom

Market Imperfections and Public Policy (MiPP) ( email )

University of Exeter ( email )

Northcote House
The Queen's Drive
Exeter, Devon EX4 4QJ
United Kingdom

University of Chile ( email )

Pío Nono Nº1, Providencia
Santiago, R. Metropolitana 7520421
Chile

Kathya Schythe

affiliation not provided to SSRN

No Address Available

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