Variance-covariance matrix (sigma) - csdid

[Marcela Vieira]

Hello everyone,

I am doing DID with multiple periods using csdid, after that, I will do power calculations and visualization for pre-trends tests by Jonathan Roth. For this analysis, I require:

1. coefficients (beta)
2. the variance-covariance matrix (sigma)
3. corresponding event-times (t)

The coefficients (beta) and time periods (t) I can obtain using estat event, window (-4 4), however, I don't know how I can obtain the variance-covariance matrix (sigma). Could anyone please help me with the code to generate the variance-covariance matrix?

Many thanks,

[FernandoRios]

Hi Marcela,
The variance covariance should also be accessible after estat event:

csdid  lemp lpop , ivar(countyreal) time(year) gvar(first_treat) method(dripw)
estat event
return list

                  r(V) :  7 x 7
                  r(b) :  1 x 7
              r(table) :  9 x 7

They will be inside r(V).