New package -honestdid- on SSC: Stata implementation of HonestDiD (Rambachan and Roth, 2022)

[Mauricio Caceres]

Thanks to Kit Baum a new package, honestdid, is now available on SSC for Stata 14.1+. You can install it with

ssc install honestdid
honestdid _plugin_check

The HonestDiD package implements the tools for robust inference and sensitivity analysis for differences-in-differences and event study designs developed in Rambachan and Roth (2022). The robust inference approach in Rambachan and Roth formalizes the intuition that pre-trends are informative about violations of parallel trends. This is the Stata version of the R package of the same name.

Please see the online tutorial on github for details on how to use the package: https://github.com/mcaceresb/stata-honestdid#readme

[Jared Greathouse]

I was quite excited for this!

[Israel Garcia]

Hola Mauricio,
Thanks a lot for implementing this in Stata. I have been playing around for a while and I have a couple of questions.

1. The numbers that appear in l_vec(matrix_name) are weights? So If I had 3 post-treatment periods and I want to compared with the third I would write

   matrix l_vec = 0 \ 0 \ 1

2. My idea is to perform an Event-study but plotting the robust CI obtained at a fixed M rather than the default CI. Do you have an example of how to do it for a couple of years and then I could follow your procedure?

I am not very proficient at coding and your help would be very welcome.
Thanks,
Israel