Interaction term (Moderation Effect) in SDID

[Mansour Mohseni]

Hi
I am wondering whether there is a way to obtain the moderation effect using sdid. I want to interact did coefficient with another variable and study the moderation effect. Currently, my code is:

sdid y id time d, vce(placebo) seed(1213) graph

and this only gives ATT. How can I add another variable to study how it moderates ATT?

[Jeff Wooldridge]

What are your data dimensions (N and T and number of treated units)?

[Mansour Mohseni]

What are your data dimensions (N and T and number of treated units)?

I have 421512 Observations, 2347 treated units, 17725 control units, and T is 21 (10 weeks before and after the intervention). The Panel data is balanced. My moderators are at the unit level and time-invariant.

[Mansour Mohseni]

Other than subsampling (which may not be the perfect solution for incorporating continuous moderators), it there any other way? My units are some local stores and that's why I have many treated and control units.