R code to estimate TWFE event study

twfe.R

# ------------------------------------------------------------------------------
# name: baker_sa.R
# author: scott cunningham (with massive help from grant mcdermott who basically
#         fixed all of it, so I think he's the author tbh)
# description: implement SA on the baker dataset
# last updated: february 20, 2022
# ------------------------------------------------------------------------------

# load libraries
library(haven)  # Read Stata .dta files
library(fixest) # Sun & Abraham (and regular TWFE and high-dimensional FEs, etc., etc.)

# load data
baker = read_dta('https://github.com/scunning1975/mixtape/raw/master/baker.dta')

baker$treated = baker$treat_date!=0 # create a treatment variable
# NB: All units in this dataset are treated so above is kind of pointless

# Naive TWFE Event Study (SEs clustered by state)
res_naive = feols(y ~ i(time_til, treated, ref = -1) | 
                    id + year,
                  baker, vcov = ~state)
summary(res_naive)
iplot(res_naive, main = "Naive TWFE")

# Again, because all units are treated you could just as well have run the
# following:
feols(y ~ i(time_til, ref = -1) | 
        id + year,
      baker, vcov = ~state) |>
  iplot()