sdid (Arkhangelsky et. al. 2021)

Table of contents

  1. Introduction
  2. Installation and options
  3. Test the command


The sdid command is written by Damian Clarke and Daniel PailaƱir based on the Arkhangelsky et. al. 2021 paper Synthetic Difference-in-Differences. A detailed description is provided on GitHub.

Installation and options

ssc install sdid, replace

Take a look at the help file:

help sdid

Test the command

Please make sure that you generate the data using the script given here

sdid Y id t D, vce(bootstrap) seed(1000) 

Since we are using bootstrapped standard errors, we fix the seed for replicability. We get this output:

Bootstrap replications (50). This may take some time.
----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5
..................................................     50

Synthetic Difference-in-Differences Estimator

           Y |     ATT     Std. Err.     t      P>|t|    [95% Conf. Interval]
           D | 131.07490    8.42889    15.55    0.000   114.55458   147.59522
95% CIs and p-values are based on Large-Sample approximations.
Refer to Arkhangelsky et al., (2020) for theoretical derivations.

The command also has a built in graph option:

sdid Y id year D, vce(bootstrap) seed(1000) graph

The command saves a set of graphs with prefix g2_ that represent synthetic DiD graphs split by the year of the first treatment:

The weights used to average pre-treatment periods are shown as area fills at the bottom of the figures.