| name | Full-empirical-analysis-skill-Stata |
| description | Classical end-to-end empirical analysis workflow in the traditional Stata ecosystem — native Stata + reghdfe + ivreg2 + csdid + did_imputation + eventstudyinteract + sdid + rdrobust + rddensity + synth + synth_runner + psmatch2 + teffects + ebalance + coefplot + esttab + asdoc + binscatter. **Defaults to economics empirical-paper style** (AER / QJE / AEJ) — every run produces a publication-ready output set with a multi-column regression table (M1→M6 progressive controls/FE) as the centerpiece, plus Table 1 (descriptives), mechanism / heterogeneity / robustness tables, and event-study + coefficient + trend figures. Covers the full 8-step Stata pipeline an applied economist runs on every paper — (1) data import & cleaning (use/import, destring, misstable, duplicates, merge assert), (2) variable construction (gen/egen/winsor2/xtile/xtset with L./F./D.), (3) descriptive statistics & Table 1 (tabstat/balancetable/asdoc), (4) classical diagnostic tests (sktest/swilk/hettest/imtest/xtserial/xttest3/vif/dfuller/kpss/hausman/estat overid), (5) baseline modeling (reg/xtreg/reghdfe/ivreg2/ivregress/csdid/did_imputation/eventstudyinteract/sdid/rdrobust/synth/psmatch2/teffects/heckman/qreg/ppmlhdfe), (6) robustness battery (bacondecomp/honestdid/rwolf/ritest/wildbootstrap/oster), (7) further analysis (subgroup/triple-diff/interactions/medsem/marginsplot/binscatter by group), (8) publication-ready tables & figures (esttab/outreg2/estout/coefplot/marginsplot/rdplot/twoway combined). **Also covers two parallel domain modes that share the same 8-step scaffolding** — **Mode A — Epidemiology / public health** (target-trial emulation, IPTW + g-formula + TMLE doubly-robust triplet via `teffects ipw` / `teffects ipwra` / `teffects aipw` / `eltmle`, Mendelian randomization via `mrrobust` (IVW / Egger / weighted median) and `mregger` / `mrpresso`, KM / Cox / AFT / RMST survival via `sts` / `stcox` / `streg` / `strmst2`, E-value sensitivity via `evalue` (Linden-Mathur), principal stratification — STROBE / TRIPOD reporting), and **Mode B — ML causal inference** (DML via `ddml` / `pdslasso`, S/T/X/R/DR meta-learners via `crforest` and `ddml interactive`, causal forest via `crforest` / `cforest`, BART/BCF via `bart` / `bartCause`-style externals, CATE distribution + policy tree via `crforest`, off-policy evaluation, conformal causal externals, fairness audit, DAG learning via `pcalg` / external Python callouts). Use when the user asks for a complete Stata empirical analysis, wants a reproducible .do-file pipeline, needs a Stata counterpart to the Python StatsPAI / Full-empirical-analysis-skill, or names a specific Stata step in isolation ("run reghdfe with two-way clustering", "csdid event study", "winsor2 at 1%", "esttab to LaTeX", "coefplot with CI", "ivreg2 weak-IV test", "synth_runner placebos", "teffects psmatch balance check"). Mode A triggers on "target trial emulation Stata", "teffects ipw aipw", "eltmle", "mrrobust", "mregger weighted median", "stcox AFT survival", "strmst2", "evalue Stata", "STROBE Stata", "公共健康 Stata", "流行病学 Stata". Mode B triggers on "ddml Stata", "pdslasso", "crforest causal forest Stata", "policy tree Stata", "因果机器学习 Stata". |
| triggers | ["Stata empirical analysis","full Stata pipeline","reproducible do-file","Stata do-file workflow","reghdfe two-way FE","high-dimensional fixed effects Stata","ivreg2 weak instruments","ivregress 2sls liml gmm","csdid Callaway SantAnna","did_imputation Borusyak","eventstudyinteract Sun Abraham","sdid synthetic DID Stata","rdrobust Stata","rddensity manipulation test","synth synthetic control","synth_runner placebo","psmatch2 propensity score","teffects psmatch","teffects ipwra AIPW Stata","ebalance entropy balancing","xtreg fe re hausman","ppmlhdfe Poisson","quantile regression qreg","heckman selection model","esttab publication table","outreg2 LaTeX","estout coefplot","marginsplot interaction","rdplot binned scatter","binscatter Stata","bacondecomp Goodman Bacon","honestdid Rambachan Roth","wild cluster bootstrap boottest","ritest randomization inference","rwolf Romano-Wolf","oster delta","winsor2 winsorize Stata","tabstat table 1","balancetable Stata","misstable patterns","destring dates","xtset panel","epidemiology pipeline Stata","public health causal inference Stata","target trial emulation Stata","teffects ipw aipw ipwra","g-formula Stata","eltmle TMLE Stata","HAL-TMLE Stata","Mendelian randomization Stata","mrrobust mregger","MR-PRESSO Stata","MR-Egger weighted median Stata","STROBE TRIPOD reporting Stata","evalue sensitivity Stata","Kaplan-Meier AFT survival Stata","sts stcox streg strmst2","流行病学 Stata","公共健康 Stata","ML causal inference Stata","ddml double machine learning Stata","pdslasso ivlasso","crforest causal forest Stata","cforest Stata","meta-learner S T X R DR Stata","CATE distribution Stata","policy tree Stata","off-policy evaluation Stata","conformal causal Stata","causal discovery PC Stata","因果机器学习 Stata"] |
Full Empirical Analysis — Classical Stata Workflow
This skill is the canonical 8-step pipeline an applied economist runs on every empirical paper, written in the traditional Stata ecosystem — native Stata + the 20+ community commands that have become de-facto standards (reghdfe, ivreg2, csdid, did_imputation, eventstudyinteract, sdid, rdrobust, rddensity, synth, synth_runner, psmatch2, teffects, ebalance, coefplot, esttab, outreg2, boottest, ritest, rwolf, bacondecomp, honestdid, binscatter).
Companion skills: if the user wants the same pipeline in Python, route to 00-StatsPAI_skill (agent-native DSL) or 00.1-Full-empirical-analysis-skill (explicit Python stack). This skill is the Stata counterpart — every step produces a .do file you can hand to a journal's replication office or a co-author who refuses to leave Stata.
Philosophy
- Stata idioms, not Python-translated.
reghdfe, not "statsmodels analogue of reghdfe". esttab, not "Stata's stargazer".
- Reproducible .do files. Every code block below is runnable after
use data.dta, clear. No Jupyter, no notebooks — just do-files and log files.
- Full pipeline, not just regressions. Stata users historically over-invest in Step 5 (modeling) and under-invest in Steps 1–4 and 6–8. This skill treats them as first-class.
- Rich outputs. Every step yields at least one table (
.tex/.rtf) or figure (.pdf/.png) — never a coefficient printed to the Results window and forgotten.
- Progressive disclosure.
SKILL.md gives the canonical command at each step; references/ holds variant-specific depth (dozens of tests, estimator-specific diagnostics, graph recipes).
Three domain modes (default = AER econ; alternates = epi & ML-causal)
The default playbook above is AER-style applied econometrics — the AEA convention: written-out estimating equation, identifying assumption, design horse-race, full robustness gauntlet. The skill also ships two parallel sub-pipelines for the other two big causal-inference traditions, each reusing the same Steps 1–4 (cleaning / construction / Table 1 / diagnostics) and Step 8 (tables/figures) — only Step 5 (estimator) and Step 6/7 swap commands:
| Mode | Reader convention | Step-5 estimator stack | Reporting stack | Jump to |
|---|
| Default — Applied Econ (AER / QJE / AEJ) | "Show the equation + identifying assumption + design horse-race; controls visible; clustered SE" | DID / IV / RD / SCM / matching / reghdfe HDFE | AER house-style multi-column esttab / outreg2 / coefplot + 8-section paper layout | Steps 1 → 8 (entire playbook below) |
| Mode A — Epidemiology / Public Health | "STROBE / TRIPOD-AI; target trial protocol; doubly-robust estimand; absolute & relative risk; KM survival" | Target-trial emulation · IPTW (teffects ipw) · IPWRA / AIPW (teffects ipwra / teffects aipw) · g-formula (gformula) · TMLE (eltmle) · Mendelian randomization (mrrobust IVW / mregger / mrpresso) · KM/Cox/AFT (sts/stcox/streg/strmst2) | Same esttab + risk-difference / hazard-ratio / E-value rows | §A. Epidemiology pipeline |
| Mode B — ML Causal Inference | "DML / meta-learners / causal forest / DR-learner; CATE distribution; policy value" | DML (ddml / pdslasso) · S/T/X/R/DR-Learner (ddml interactive) · GRF causal forest (crforest / cforest) · BART / BCF (external Python via python_user) · matrix completion (external) | esttab ML horse-race + crforest CATE plot + policy-value table | §B. ML causal pipeline |
How to invoke a non-default mode (Claude / agent picks this up from the user's wording):
| User says... | Mode the skill switches to |
|---|
| "Run a DID / IV / RD / event study", "AER table", "applied micro" | Default (AER econ) — Steps 1 → 8 |
| "Target trial emulation", "g-formula", "IPTW", "TMLE", "Mendelian randomization", "STROBE / TRIPOD", "公共健康 / 流行病学", "epi pipeline", "RWE study", "cohort study", "case-control" | Mode A (Epi) — §A |
| "DML", "double machine learning", "ddml", "causal forest", "crforest", "meta-learner", "CATE", "policy learning", "ML causal", "因果机器学习" | Mode B (ML causal) — §B |
| "Mix" (e.g. "estimate DID + then ML CATE on the heterogeneity") | Default + Mode B in sequence — every estimator stores results via eststo, drop them all into one esttab for the horse-race column |
The three modes share the same Step 1–4 cleaning / Table 1 / diagnostics scaffolding, the same Step 8 export stack, and the same DAG-first identification logic — switching modes only changes which Step-5 command family you reach for. If you only want descriptive stats / Table 1 / a balance check, the AER tabstat / balancetable / asdoc calls in Step 3 work identically across all three modes.
Stata-specific caveat for Mode B: Stata's first-party ML-causal coverage is thinner than Python/R. For Dragonnet / TARNet / CEVAE / cfcausal / fairness audit, call out to Python via Stata 18's python: / python script block (or shell out to a sister .py) and read the result back via frame or import delimited. The skill prefers native Stata commands (ddml, pdslasso, crforest) where they exist, and explicitly marks the Python callouts in §B.
Default Output Spec — Economics Empirical Paper
This skill defaults to the applied-economics paper convention. Unless the user explicitly asks for a single point estimate, every .do-file run produces the full publication-ready output set below. Treat it as the contract of Step 8 — mandatory, not opt-in.
Required tables (always produced)
| # | Table | Stata source | Saves to |
|---|
| T1 | Summary statistics & balance (treated vs control, with SMD / p-values) | balancetable + asdoc sum (Step 3) | tables/table1_balance.{tex,rtf,xlsx,docx} |
| T2 ★ | Main results — multi-column regression M1→M6 (progressive controls + FE) | eststo 6 specs → esttab (Step 5–6) | tables/table2_main.{tex,rtf,xlsx,docx} |
| T3 | Mechanism / outcome ladder — same treatment, 3+ outcomes side-by-side | loop eststo: reghdfe over outcomes → esttab (Step 7) | tables/table3_mechanism.{tex,rtf,xlsx,docx} |
| T4 | Heterogeneity — subgroup × main coef (gender, age, region, …) | subgroup eststo + suest Wald → esttab (Step 7) | tables/table4_heterogeneity.{tex,rtf,xlsx,docx} |
| T5 | Robustness battery — alt SE / cluster / sample / placebo, in one table | eststo × variants → esttab (Step 6) | tables/table5_robustness.{tex,rtf,xlsx,docx} |
★ Table 2 is the centerpiece of every economics paper. It is the multi-column regression table that walks the reader from raw correlation (M1) to the fully-specified design (M6: 2-way FE + interacted FE + cluster-robust SE). Do not collapse it into a single column. Do not report only the headline coefficient. The progression is the credibility argument: if M1→M6 is monotone and stable, the design is plausibly identifying; if it collapses on adding FE, that is the result.
Canonical 6 columns, in order:
- M1 raw bivariate (
reg y treat)
- M2 + demographics (
+ age + edu)
- M3 + sector controls (
+ tenure / firm_size)
- M4 + unit FE (
reghdfe ..., absorb(unit))
- M5 + 2-way FE (
absorb(unit year))
- M6 + interacted FE (
absorb(unit year i.industry#i.year)) with vce(cluster unit)
Required figures (always produced)
| # | Figure | Stata source | Saves to |
|---|
| F1 | Trend / motivation — treated vs control over time, with policy line | collapse (mean) y, by(year treat) → twoway line (Step 3) | figures/fig1_trend.pdf (+ .png) |
| F2 | Event-study coefficients with 95% CI, base period at –1 | eventstudyinteract / csdid / coefplot, keep(*.rel) (Step 5) | figures/fig2_event_study.pdf |
| F3 | Coefficient plot across specs M1→M6 | coefplot m1 m2 m3 m4 m5 m6, keep(treat) vertical (Step 8) | figures/fig3_coefplot.pdf |
| F4 | Robustness / sensitivity curve — bacondecomp plot, honestdid plot, or cluster-comparison forest | scenario-specific (Step 6) | figures/fig4_sensitivity.pdf |
Output file layout (default)
project/
├── tables/ table1_balance.{tex,rtf,xlsx,docx} table2_main.{tex,rtf,xlsx,docx}
│ table3_mechanism.{tex,rtf,xlsx,docx} table4_heterogeneity.{tex,rtf,xlsx,docx}
│ table5_robustness.{tex,rtf,xlsx,docx}
└── figures/ fig1_trend.{pdf,png} fig2_event_study.{pdf,png}
fig3_coefplot.{pdf,png} fig4_sensitivity.{pdf,png}
Every table → .tex (LaTeX booktabs) and .rtf (Word) and .xlsx (Excel) and .docx (Word OOXML). Every figure → .pdf (vector for LaTeX) and .png at ≥300 dpi (slides / web).
When to deviate
- Single quick estimate — produce only the relevant cell, but warn that the standard deliverable is the full set above and offer to run it.
- Design does not support a figure (cross-section → no event study) — skip with a printed
display note explaining why; do not silently drop.
- N=1 treated unit (
synth) — replace F1/F2 with the SCM trajectory + placebo distribution from synth_runner; T1–T5 still apply.
Required packages
* Run once on a fresh Stata install:
ssc install reghdfe, replace
ssc install ftools, replace // dependency of reghdfe / ivreg2
ssc install ivreg2, replace
ssc install ranktest, replace // dependency of ivreg2
ssc install ivreghdfe, replace // ivreg2 × reghdfe: high-dim FE IV
ssc install ppmlhdfe, replace // Poisson with HD FE
ssc install csdid, replace // Callaway–Sant'Anna (2021)
ssc install drdid, replace // dependency of csdid
ssc install did_imputation, replace // Borusyak–Jaravel–Spiess (2024)
ssc install eventstudyinteract, replace // Sun & Abraham (2021)
ssc install sdid, replace // Synthetic DID (Arkhangelsky et al. 2021)
ssc install did_multiplegt_dyn, replace // de Chaisemartin & D'Haultfœuille
ssc install bacondecomp, replace // Goodman-Bacon (2021)
ssc install honestdid, replace // Rambachan–Roth (2023) PT sensitivity
ssc install rdrobust, replace // Calonico–Cattaneo–Titiunik RD
ssc install rddensity, replace // McCrary / Cattaneo et al. density test
ssc install synth, replace // Abadie–Diamond–Hainmueller SCM
ssc install synth_runner, replace // SCM with placebos + inference
ssc install psmatch2, replace // propensity-score matching
ssc install ebalance, replace // entropy balancing
ssc install coefplot, replace
ssc install estout, replace // provides estout / esttab / eststo
ssc install outreg2, replace
ssc install asdoc, replace // one-click Word/Excel tables
ssc install binscatter, replace
ssc install balancetable, replace
ssc install winsor2, replace
ssc install xtable, replace // better xtreg output tables
ssc install boottest, replace // wild cluster bootstrap (Roodman et al.)
ssc install ritest, replace // randomization inference
ssc install rwolf, replace // Romano–Wolf multiple-testing
ssc install moremata, replace // Mata extensions (dep for several)
ssc install mdesc, replace // missing data description
ssc install missings, replace // missings dropvars, report
ssc install unique, replace // unique IDs in panel
ssc install schemepack, replace // modern publication themes
The 8 Steps — Canonical Pipeline (mapped to AER paper sections)
┌──────────────────────────────────────────────────────────────────────┐
│ Step −1 Pre-Analysis Plan (PAP) power/sampsi/clustersampsi/MDE │
│ Step 0 Sample log + data contract sample_log/assert/xtdescribe/JSON │
│ Step 1 Data import & cleaning use/import/destring/misstable/merge│
│ Step 2 Variable construction gen/egen/winsor2/xtile/xtset/L.F.D.│
│ Step 2.5 Empirical strategy equation × ID assumption + pre-reg │
│ Step 3 Descriptive statistics tabstat/balancetable/asdoc/pwcorr │
│ Step 3.5 Identification graphics event-study/1st-stage/McCrary/love │
│ Step 4 Diagnostic tests sktest/hettest/xtserial/vif/dfuller│
│ Step 5 Baseline modeling reghdfe/ivreg2/csdid/rdrobust/synth│
│ Step 6 Robustness battery bacondecomp/honestdid/rwolf/boottest│
│ Step 7 Further analysis triple-diff/subgroup/medsem/margins│
│ Step 8 Tables & figures esttab/outreg2/coefplot/rdplot │
└──────────────────────────────────────────────────────────────────────┘
The 8 steps mirror the canonical sections of an applied AER / QJE / AEJ paper. Each step is one paper section and emits a paper-ready artifact on disk:
Paper section Step Stata moves
─────────────────────────── ───── ────────────────────────────────────────────────
Pre-Analysis Plan −1 power/sampsi + freeze protocol.do to disk
§1. Data 0 sample_log + 5-check data contract → JSON
§1. Data 1 use/import/destring/misstable/merge assert/xtset
§1. Data 2 gen/egen/winsor2/xtile/L./F./D./CPI deflation
§1.1 Descriptives (Table 1) 3 tabstat · balancetable · asdoc · pwcorr · twoway
§2. Empirical Strategy 2.5 write equation + ID assumption → strategy.do
§3. Identification graphics 3.5 event-study · 1st-stage F · McCrary · love · SCM
§3.5 Diagnostics 4 swilk · hettest · xtserial · vif · dfuller · hausman
§4. Main Results (Table 2) 5 M1→M6 progressive controls + FE (eststo + esttab)
§5. Heterogeneity (Table 3) 7 margins/marginsplot · subgroup · medsem
§6. Mechanisms / Channels 7 medsem/khb · outcome ladder · DDD interactions
§7. Robustness gauntlet 6 bacondecomp · honestdid · psacalc · boottest · ritest · rwolf
§8. Replication package 8 esttab + outreg2 + coefplot + reproducibility stamp
Below is the canonical command at each step. All examples share one running narrative — a labor-economics panel where training (treatment) affects log_wage (outcome), with covariates age, edu, tenure, panel keys worker_id / firm_id / year. Variable names and parameter values are illustrative; substitute the real ones from the user's dataset. Only command names and option shapes are normative.
When a step has many variants (e.g. staggered DID has 5 estimators; heteroskedasticity has 4 classic tests), SKILL.md shows the one you reach for first and links to references/NN-<topic>.md for the rest. Read the reference file when the user's case doesn't fit the default.
Paper-ready figure & table inventory (what to produce by section)
A modern AER paper has 5–7 figures and 3–5 main tables + an appendix robustness table. Every step below leaves at least one numbered artifact on disk. Default file names assume parallel .tex / .rtf exports (the agent should produce both so co-authors can edit in Word, and the build system can use LaTeX):
| § | Artifact | Stata primitive | Filenames |
|---|
| §1 | Figure 1: raw trends / treatment rollout | collapse + twoway line · heatplot for staggered rollout | figures/fig1_trend.{pdf,png} |
| §1 | Table 1: summary stats (full / treated / control + Δ + SMD) | balancetable · asdoc sum, by() · tabstat | tables/table1_balance.{tex,rtf,xlsx,docx} |
| §3 | Figure 2: identification graphic (event-study / first-stage / McCrary / RD scatter / SCM trajectory) | coefplot after eventstudyinteract/csdid · binscatter · rdplot · rddensity, plot · synth | figures/fig2_event_study.{pdf,png} |
| §4 | Table 2: main results — progressive controls M1→M6 | eststo 6 specs → esttab | tables/table2_main.{tex,rtf,xlsx,docx} |
| §4 | Table 2-bis: design horse-race (OLS / IV / DID / matching) | eststo mix + esttab | tables/table2b_designs.{tex,rtf,xlsx,docx} |
| §4 | Figure 3: coefficient plot across specs | coefplot m1 m2 m3 m4 m5 m6, keep(treat) | figures/fig3_coefplot.{pdf,png} |
| §5 | Table 3: heterogeneity by subgroup | eststo per slice + esttab + suest Wald | tables/table3_heterogeneity.{tex,rtf,xlsx,docx} |
| §5 | Figure 4: dose-response / margins-by-quartile | xtile + margins + marginsplot | figures/fig4_dose.{pdf,png} |
| §6 | Table 4: mechanism / outcome ladder | loop eststo: reghdfe over outcomes → esttab | tables/table4_mechanism.{tex,rtf,xlsx,docx} |
| §7 | Table A1: robustness master (one column per check) | eststo × variants → esttab | tables/tableA1_robustness.{tex,rtf,xlsx,docx} |
| §7 | Figure 5: spec curve — coefficient + 95% CI across all specs | hand-rolled spec loop + twoway rcap | figures/fig5_spec_curve.{pdf,png} |
| §7 | Figure 6: sensitivity (HonestDiD / Oster / E-value) | honestdid, coefplot · psacalc plot · evalue table | figures/fig6_sensitivity.{pdf,png} |
| §8 | Replication bundle: all tables in one document | esttab ..., append to one .tex / .rtf · texdoc | replication/paper_tables.{tex,rtf,xlsx,docx} |
Every Stata estimator above stores results via eststo and can be passed straight into esttab / coefplot / outreg2. Don't hand-roll LaTeX, and don't render Word from outsheet/putexcel matrices — esttab and outreg2 apply book-tab borders, AER-style stars, and the right SE label automatically. For deeper export recipes (LaTeX / Word / Markdown variants, texdoc, frmttable), see references/08-tables-plots.md.
Export cookbook — LaTeX / Word / RTF in one block
Stata's export stack is more fragmented than Python's StatsPAI. Three tiers, picked by scope:
| Tier | Use when | API | Hot options |
|---|
| 1. Single multi-column table | Exporting one Table 2 / Table 3 / Table A1 with progressive columns | .tex / .rtf: esttab with booktabs
.xlsx / .docx: outreg2 (esttab's native Office export is a data dumper, not a publication formatter — outreg2 produces properly formatted Word/Excel with borders, aligned stars, and AER-style layout) | esttab for tex/rtf: keep(), drop(), mtitles(), stats(N r2 r2_a, labels(...)), star(* 0.10 ** 0.05 *** 0.01), label, booktabs, addnotes().
outreg2 for xlsx/docx: label dec(3), addtext() for FE indicators, replace first / append subsequent columns.
Always emit all four formats — esttab for tex/rtf in a foreach ext in tex rtf loop, outreg2 for xlsx/docx in a separate foreach ext in xlsx docx loop. |
| 2. Multi-panel paper format (Tables 2 + 3 + A1 + A2 in one file) | Producing the paper-tables block — main + heterogeneity + robustness + placebo as a single document | esttab ... using "paper.tex", replace for first panel; subsequent esttab ... using "paper.tex", append for each next panel; texdoc init "paper.tex" for full LaTeX with prose. Repeat for .rtf/.xlsx/.docx bundles. | first panel: replace; subsequent: append; surround with texdoc for headings |
3. Full session bundle (the Stata 17+ collect equivalent) | Replication appendix that mixes summary stats + balance + multiple regression tables + headings + prose in one file | collect create paper
collect get summary, ...
collect get est ...
collect layout ...
collect export "paper.xlsx" (also .docx/.html/.tex/.md) | Stata 17+ only; for older Stata use texdoc / markdoc |
Journal styling — pick the right star levels and SE label. The AEA convention is * 0.10 ** 0.05 *** 0.01 and SE label "Standard errors in parentheses"; QJE / Econometrica / RES variants only differ in stars / notes / fonts. Define an esttab wrapper once at the top of the do-file:
* Top of master.do — journal house-style wrapper
local AER_STAR "* 0.10 ** 0.05 *** 0.01"
local AER_NOTES "Cluster-robust standard errors in parentheses. * p<0.10, ** p<0.05, *** p<0.01."
local AER_STATS stats(N r2_a, labels("N" "Adj. R²"))
* LaTeX + RTF via esttab (booktabs for tex)
* esttab m1 m2 m3 using "tables/table2.tex", replace ///
* se star(`AER_STAR') label booktabs `AER_STATS' addnotes(`AER_NOTES')
* esttab m1 m2 m3 using "tables/table2.rtf", replace ///
* se star(`AER_STAR') label `AER_STATS' addnotes(`AER_NOTES')
* Excel + Word via outreg2 (publication-grade Office formatting)
* First column: replace; subsequent: append
* outreg2 using "tables/table2.xlsx", replace label dec(3) ///
* keep(training age edu tenure) addtext(Worker FE, Yes, Year FE, Yes)
* outreg2 using "tables/table2.xlsx", append label dec(3) ///
* keep(training age edu tenure region) addtext(Worker FE, Yes, Year FE, Yes, Region, Yes)
Multi-format export pattern — emit .tex and .rtf via esttab, then .xlsx and .docx via outreg2. Never use esttab ... using "... .xlsx" or esttab ... using "... .docx" — esttab's native Office export is a raw data dumper, not a publication formatter:
* LaTeX + RTF — use esttab (booktabs for tex, rich text for rtf)
foreach ext in tex rtf {
esttab m1 m2 m3 using "tables/table2_main.`ext'", ///
replace se star(* 0.10 ** 0.05 *** 0.01) ///
label booktabs mtitles("(1)" "(2)" "(3)") ///
stats(N r2_a, labels("N" "Adj. R²")) ///
addnotes("Cluster-robust SE in parentheses. * p<0.10, ** p<0.05, *** p<0.01.")
}
* Excel + Word — use outreg2 (proper Office table formatting, aligned stars, borders)
* First model: replace
eststo m1: qui reghdfe log_wage training age edu tenure, absorb(worker_id year) vce(cluster worker_id)
outreg2 using "tables/table2_main.xlsx", replace label dec(3) ///
keep(training age edu tenure) ///
addtext(Worker FE, Yes, Year FE, Yes)
* Subsequent models: append
eststo m2: qui reghdfe log_wage training age edu tenure region, absorb(worker_id year) vce(cluster worker_id)
outreg2 using "tables/table2_main.xlsx", append label dec(3) ///
keep(training age edu tenure region) ///
addtext(Worker FE, Yes, Year FE, Yes, Region, Yes)
* docx follows the same pattern but with the .doc extension
outreg2 using "tables/table2_main.doc", replace label dec(3) ///
keep(training age edu tenure) ///
addtext(Worker FE, Yes, Year FE, Yes)
eststo m2
outreg2 using "tables/table2_main.doc", append label dec(3) ///
keep(training age edu tenure region) ///
addtext(Worker FE, Yes, Year FE, Yes, Region, Yes)
Figures always export to both .pdf and .png at ≥300 dpi (vector for LaTeX, raster for slides/web/Word embedding):
graph export "figures/fig1_trend.pdf", replace
graph export "figures/fig1_trend.png", replace width(2400) height(1800)
For the collect / texdoc / markdoc cookbook (Stata 17+ multi-panel paper bundle and prose+tables PDF/Word generation), see references/08-tables-plots.md.
Step −1 — Pre-Analysis Plan (pre-data; AEA RCT Registry style)
Before touching the data, write down (a) the population, (b) the design, (c) the minimum detectable effect (MDE) under the planned sample size and α=0.05, β=0.20. Persist the result as protocol.do so a referee can verify the design was powered before, not after, the data were seen.
* Two-sample MDE (continuous outcome, Cohen's d framing)
power twomeans 0, diff(0.2) sd(1) power(0.80) alpha(0.05)
* → required n per arm
* Cluster-randomized RCT — solve for n_clusters given ICC
power twomeans 0, diff(0.2) sd(1) power(0.80) k1(50) rho(0.05) cluster
* → required clusters per arm under ICC=0.05, cluster size 50
* DID power (Frison–Pocock / Bloom 1995): use -sampsi- + -clustersampsi-
* (no native `power did`; for staggered DID see references/05-modeling.md §5.4)
sampsi 0 0.15, sd(1.0) alpha(0.05) power(0.80) n1(.) n2(.)
* RD power — McCrary-style: solve via Monte Carlo with -simulate-
* (see references/05-modeling.md §5.5 RD power template)
* Persist the protocol — referee will ask whether design was powered ex ante
file open f using "protocol.do", write replace
file write f "* Pre-analysis plan — frozen `c(current_date)' `c(current_time)'" _n
file write f "* Population: manufacturing workers 2010-2020" _n
file write f "* Treatment: training (binary)" _n
file write f "* Outcome: log_wage" _n
file write f "* Design: staggered DID, csdid (Callaway-Sant'Anna 2021)" _n
file write f "* MDE: 0.05 log points at 80% power, α=0.05" _n
file write f "* N planned: ~12,000 worker-years" _n
file close f
Save this .do file in version control before running Step 1. AEA RCT Registry / OSF preregistration tools accept it as the analysis-plan exhibit.
Step 0 — Sample-construction log & 5-check data contract
An AER §1 Data section has three jobs: (a) describe sources, (b) document every sample restriction (the "footnote 4" sample log), (c) lock the panel structure. Stata users typically chain keep / drop commands in a single do-file with no count log, then can't reconstruct the analysis sample for the response letter. The data contract is the cure.
0.1 Sample-construction log (footnote 4)
use "raw.dta", clear
matrix sample_log = J(0, 2, .)
local row 0
local n0 = _N
local ++row
matrix sample_log = (nullmat(sample_log) \ `row', `n0')
display "Step 0. raw: N = " %12.0fc `n0'
drop if missing(wage)
local n1 = _N
local ++row
matrix sample_log = (nullmat(sample_log) \ `row', `n1')
display "Step 1. drop missing wage: N = " %12.0fc `n1' " (Δ " %10.0fc `n0' - `n1' ")"
drop if !inrange(age, 18, 65)
local n2 = _N
local ++row
matrix sample_log = (nullmat(sample_log) \ `row', `n2')
display "Step 2. drop age outside 18-65: N = " %12.0fc `n2' " (Δ " %10.0fc `n1' - `n2' ")"
keep if inlist(industry, "manuf", "construction", "transport")
local n3 = _N
local ++row
matrix sample_log = (nullmat(sample_log) \ `row', `n3')
display "Step 3. keep target industries: N = " %12.0fc `n3' " (Δ " %10.0fc `n2' - `n3' ")"
* Persist to JSON (for paste into footnote 4)
file open f using "artifacts/sample_construction.json", write replace
file write f "{" _n
file write f `" "step_0_raw": `=sample_log[1,2]',"' _n
file write f `" "step_1_wage": `=sample_log[2,2]',"' _n
file write f `" "step_2_age": `=sample_log[3,2]',"' _n
file write f `" "step_3_indust": `=sample_log[4,2]'"' _n
file write f "}" _n
file close f
Paste the display lines verbatim as footnote 4 of the paper.
0.2 Five-check data contract (go / no-go gate)
* (1) Shape
display "Check 1. n_obs = " _N
* (2) Dtypes on key vars — assert types are numeric where required
foreach v in wage training worker_id year age edu tenure {
capture confirm numeric variable `v'
if _rc {
display as error "Check 2 FAILED: `v' is not numeric — fix before any panel command"
exit 198
}
}
display "Check 2. dtypes OK on all key vars"
* (3) Missingness pattern on key vars
mdesc wage training worker_id year age edu tenure // ssc install mdesc
foreach v in wage training worker_id year {
qui count if missing(`v')
if r(N) > 0 {
display as error "Check 3 FAILED: `v' has " r(N) " missing — fix before estimation"
exit 198
}
}
* (4) Duplicate (id, time) — fatal for panel methods
duplicates report worker_id year
duplicates tag worker_id year, gen(dup)
qui count if dup > 0
if r(N) > 0 {
display as error "Check 4 FAILED: " r(N) " duplicate (worker_id, year) rows"
exit 198
}
drop dup
* (5) Panel balance
xtset worker_id year
xtdescribe
qui xtdes
local n_balanced = r(N)
display "Check 5. panel n=" _N " (balanced cells if `n_balanced' equals expected unit×period)"
* MCAR sniff test (Rubin) — if missing(y) is associated with covariates,
* listwise deletion biases the estimate. Use `mi` / IPW instead.
gen byte miss_y = missing(wage)
foreach cov in age edu tenure {
qui ttest `cov', by(miss_y)
if r(p) < 0.05 {
display as error "WARNING: y-missingness associates with `cov' (p=" %5.3f r(p) ")."
display as error " -> NOT MCAR, use -mi impute- or IPW, NOT listwise drop."
}
}
drop miss_y
* Persist contract
file open f using "artifacts/data_contract.json", write replace
file write f "{" _n
file write f `" "n_obs": `=_N',"' _n
file write f `" "panel": "worker_id × year","' _n
file write f `" "treatment": "training","' _n
file write f `" "outcome": "log_wage""' _n
file write f "}" _n
file close f
If any assertion fires, stop and fix it. Stata estimators silently drop NaN rows, the most common source of "mysterious sample-size shrinkage" bugs in the response letter.
Step 1 — Data import & cleaning
Deeper patterns: references/01-data-cleaning.md — reading Excel/CSV/SAS/SPSS, destring on numeric-looking strings, misstable patterns, duplicates tagging, merge with assert(match using), xtset balance checks, spells / gaps, labels.
* 1a. Load + first look
use "raw.dta", clear
describe, short
summarize
misstable summarize
mdesc // missing-data report
* 1b. Dtypes — destring strings-that-should-be-numeric
destring year wage, replace force // force: convert non-numeric to .
gen hire_date = date(hire_date_str, "YMD"); format hire_date %td
* 1c. Missing values — decide PER VARIABLE
local key_vars "wage training worker_id year"
foreach v of local key_vars {
drop if missing(`v')
}
sum tenure, detail
replace tenure = r(p50) if missing(tenure) // median-impute
gen byte tenure_miss = missing(tenure) // keep the flag
* 1d. Outliers — flag first (winsorize in Step 2)
egen wage_z = std(wage)
count if abs(wage_z) > 4
display "Flagged |z|>4 on wage: " r(N)
* 1e. Deduplicate on panel key
duplicates report worker_id year
duplicates tag worker_id year, gen(dup)
assert dup == 0 // hard-fail if panel key not unique
drop dup
* 1f. Merge with assert — never silently lose rows
merge m:1 firm_id using "firm_chars.dta", ///
assert(match using master) keep(master match) nogen
* 1g. Panel structure
xtset worker_id year // declares panel
xtdescribe // balance summary
tab year // observations per year
Key principle: all row exclusions are explicit, counted, logged. No command in Steps 2+ should silently drop rows.
Step 2 — Variable construction & transformation
Deeper patterns: references/02-data-transformation.md — log / ihs / Box–Cox, within-group winsor2, xtile and custom cuts, egen recipes, time-series operators (L., F., D., S.), CPI deflation, staggered-DID timing construction.
* 2a. Log / IHS
gen log_wage = log(max(wage, 1)) // floor at 1
gen ihs_assets = asinh(assets) // handles 0 / negative
* 2b. Winsorize 1/99
winsor2 wage, cuts(1 99) suffix(_w1) by(year) // within-year winsorize
* 2c. Standardize
egen age_std = std(age)
* 2d. Categorical encoding (factor variables — use i. inside regressions)
* Explicit dummies only when needed for export
tab industry, gen(ind_)
drop ind_1 // base category
* 2e. Interactions & polynomials — use c. and i. inline in reg commands
gen age_sq = age^2
gen trt_x_edu = training * edu
* 2f. Panel operators (xtset is required for L./F./D. to work)
xtset worker_id year
gen log_wage_l1 = L.log_wage
gen log_wage_f1 = F.log_wage
gen d_log_wage = D.log_wage
* 2g. Within-unit mean (egen)
egen wage_mean_i = mean(log_wage), by(worker_id)
* 2h. Treatment timing for staggered DID
bysort worker_id (year): egen first_treat = min(cond(training==1, year, .))
gen rel_time = year - first_treat
replace rel_time = . if missing(first_treat) // never-treated = .
gen never_treated = missing(first_treat)
* 2i. Real values (CPI deflation)
merge m:1 year using "cpi.dta", keep(master match) nogen
sum cpi if year == 2010
gen wage_real = wage * r(mean) / cpi
Step 2.5 — Empirical strategy (write the equation + identifying assumption)
This is the heart of an AER paper. Before any code, write down the equation explicitly and state the identifying assumption. Vague identification language is the single most common reason a referee rejects an applied paper. Persist the strategy as strategy.do (or .md) so it is a dated, version-controlled artifact — not a post-hoc rationalization written after seeing the coefficient.
Equation × identifying assumption × Stata estimator (decision table)
| Design | Estimating equation | Identifying assumption | Stata estimator |
|---|
| 2×2 DID | Y_it = α_i + λ_t + β·D_it + X'γ + ε_it | parallel trends conditional on X | reghdfe Y c.D#c.post X, absorb(i t) vce(cluster i) |
| Event-study (CS / SA) | Y_it = α_i + λ_t + Σ_{e≠-1} β_e · 1{t-G_i = e} + ε_it | no anticipation + group-time PT | csdid / eventstudyinteract / did_imputation |
| 2SLS | Y_i = α + β·D_i + X'γ + ε_i; D_i = π·Z_i + X'δ + u_i | exclusion + relevance + monotonicity | ivreg2 / ivreghdfe |
| Sharp RD | Y_i = α + β·1{X_i ≥ c} + f(X_i) + ε_i (local poly) | continuity of E[Y(0)|X] at c, no manipulation | rdrobust (+ rddensity) |
| SCM | Ŷ_1t(0) = Σ_j ŵ_j Y_jt, τ_t = Y_1t − Ŷ_1t(0) for t≥T_0 | pre-period fit + interpolation validity | synth / synth_runner / sdid |
| Selection-on-observables (matching/IPW) | E[Y_i(d) | X_i] = E[Y_i | D=d, X_i] | unconfoundedness + overlap | teffects psmatch / ipw / aipw / ipwra, ebalance |
Design picker (when the user is unsure)
┌─ running var + cutoff ───────────────── RDD (rdrobust)
│
├─ exogenous instrument Z ─────────────── IV/2SLS (ivreg2 / ivreghdfe)
data + question ─┤
├─ pre/post × treat/control ─┬ 2 periods ── 2×2 DID (reghdfe / xtreg)
│ └ staggered ── CS / SA / BJS (csdid / eventstudyinteract / did_imputation)
│
├─ 1 treated unit + donor pool + long pre ── SCM (synth / synth_runner / sdid)
│
├─ high-dim X, selection-on-observables ── ML causal (ddml / crforest — see §B)
│
└─ none of the above ──────────────────── matching + sensitivity (teffects + evalue)
Pre-registration strategy.do template
*--- strategy.do — empirical-strategy pre-registration ---
* Frozen `c(current_date)' `c(current_time)' (Git SHA: <paste>)
* Population: manufacturing workers, 2010–2020, balanced panel
* Treatment: training (binary, staggered adoption)
* Outcome: log_wage (CPI-deflated 2010 USD)
* Estimand: ATT on the treated, dynamic horizon -4..+4
*
* Estimating equation (paste from the §2.5 row that matches the design):
* log_wage_it = α_i + λ_t + Σ_{e≠-1} β_e · 1{t - G_i = e} + ε_it
*
* Identifying assumption:
* 1. No anticipation: E[Y_it(0) | t < G_i] = E[Y_it(0) | never-treated]
* 2. Group-time PT: Δ E[Y_it(0)] is the same across treatment cohorts
*
* Auto-flagged threats (must defend in §2):
* - Selection of G_i on Y_i(0) -> bacondecomp + honestdid sensitivity
* - Spillover across worker_id within firm -> cluster at firm_id, also try firm_id × year
* - Anticipation in the year before adoption -> include lead in event study
*
* Fallback estimators (Step 6 robustness):
* - eventstudyinteract (Sun-Abraham 2021)
* - did_imputation (Borusyak-Jaravel-Spiess 2024)
* - sdid (Synthetic DID)
Commit strategy.do before running Step 5 / Step 6. The git log of this file is the analysis plan.
Step 3 — Descriptive statistics & Table 1
Deeper patterns: references/03-descriptive-stats.md — stratified Table 1 with SMDs, asdoc / tabstat / balancetable, correlation matrix with significance stars (pwcorr, sig star(.05)), histograms / kdensity by group, xtline for DID motivation, panel-coverage xtdescribe.
* 3a. Full-sample summary
local vars "log_wage age edu tenure training"
tabstat `vars', statistics(n mean sd min p25 p50 p75 max) columns(statistics)
* One-command Word/Excel output:
asdoc sum `vars', stat(N mean sd min median max) ///
save(tables/table1_full.docx) replace
* 3b. Stratified Table 1 (treated vs control + t-tests + SMDs)
balancetable training age edu tenure female ///
using "tables/table1_balance.tex", ///
vce(cluster firm_id) replace ///
varlabels pval
* Manual per-variable t-test + SMD:
foreach v of varlist age edu tenure {
qui sum `v' if training == 1
local m1 = r(mean); local sd1 = r(sd); local n1 = r(N)
qui sum `v' if training == 0
local m0 = r(mean); local sd0 = r(sd); local n0 = r(N)
local smd = (`m1' - `m0') / sqrt((`sd1'^2 + `sd0'^2)/2)
ttest `v', by(training)
display "`v': Δ=" %7.3f (`m1'-`m0') " SMD=" %7.3f `smd' " p=" %6.3f r(p)
}
* 3c. Correlation matrix with significance stars
pwcorr `vars', sig star(.05)
estout using "tables/corr.tex", replace ///
cells("b(star fmt(3))") style(tex) // alternative: estpost correlate
* 3d. Distribution plots
twoway (kdensity log_wage if training==1) ///
(kdensity log_wage if training==0), ///
legend(order(1 "Treated" 2 "Control")) ///
title("Log wage density by treatment") ///
saving(figures/kde_wage, replace)
graph export "figures/kde_wage.pdf", replace
* 3e. Time trends — the DID motivation plot
preserve
collapse (mean) log_wage, by(year training)
twoway (line log_wage year if training==1) ///
(line log_wage year if training==0), ///
xline(`policy_year', lpattern(dash)) ///
legend(order(1 "Treated" 2 "Control"))
graph export "figures/trend_did.pdf", replace
restore
* 3f. Panel coverage
xtdescribe
Step 3.5 — Identification graphics (Section "Identification, graphical evidence")
AER convention: the identification figure precedes the regression table. The reader should see graphical evidence that PT holds / first stage is strong / RD jumps cleanly before you ask them to trust your point estimate. This block is one or two figures saved to figures/ — most of the heavy lifting is one Stata command + one coefplot.
3.5.1 Event-study figure + numerical pre-trends test (DID identification)
Pre-period coefficients ≈ 0 (with the −1 reference period normalized to zero) is the visual evidence for parallel trends. Pair the figure with a numerical pre-trends test so reviewers don't have to eyeball it.
* Build relative-time factor variable, base at e = -1
gen rel = year - first_treat
replace rel = . if missing(first_treat) // never-treated dropped from event study
keep if inrange(rel, -4, 4) | missing(first_treat)
gen rel_p = rel + 5 // shift -4..4 → 1..9; ib4 means "base = -1"
* (a) Sun-Abraham via -eventstudyinteract- (preferred for staggered adoption)
forvalues k = 1/9 {
gen rel_d`k' = (rel_p == `k')
}
eventstudyinteract log_wage rel_d1 rel_d2 rel_d3 rel_d5 rel_d6 rel_d7 rel_d8 rel_d9, ///
cohort(first_treat) control_cohort(never_treated) ///
absorb(worker_id year) vce(cluster worker_id)
* (b) Coefficient figure with shaded CI + reference line at e=-1
coefplot, keep(rel_d*) vertical omitted ///
yline(0, lpattern(dash) lcolor(gs10)) xline(4.5, lpattern(dash)) ///
rename(rel_d1="-4" rel_d2="-3" rel_d3="-2" rel_d5="0" ///
rel_d6="1" rel_d7="2" rel_d8="3" rel_d9="4") ///
ciopts(recast(rcap)) levels(95) ///
xtitle("Years relative to treatment") ///
ytitle("Coefficient (ATT, 95% CI)") ///
title("Figure 2a. Event-study coefficients (95% CI; ref. e = -1)") ///
scheme(s2color)
graph export "figures/fig2a_event_study.pdf", replace
graph export "figures/fig2a_event_study.png", replace width(2400)
* (c) Numerical pre-trends F-test (joint zero on the leads e = -4..-2)
test rel_d1 rel_d2 rel_d3
display "Pre-trends F = " %5.2f r(F) " p = " %5.3f r(p)
* (d) Bacon decomposition figure (Goodman-Bacon 2021) — TWFE diagnostic
bacondecomp log_wage training, ddetail
* The -bacondecomp- output names the contaminated 2×2 weights.
* Save the auto-generated figure as figures/fig2a_bacon.pdf.
* (e) Callaway-Sant'Anna dynamic ATT (when -csdid- is the main estimator)
csdid log_wage age edu, ivar(worker_id) time(year) gvar(first_treat) ///
method(dripw) agg(event)
estat event, window(-4 4)
csdid_plot, title("Figure 2a-bis. Dynamic ATT (Callaway-Sant'Anna)")
graph export "figures/fig2a_csdid.pdf", replace
3.5.2 First-stage F-statistic + scatter (IV identification)
Rule of thumb: first-stage F ≥ 10 for OLS-style inference; F ≥ 23 for AR-equivalent inference (Stock–Yogo / Lee 2022). ivreg2 reports CD / KP / weak-IV statistics by default — far more useful than ivregress's minimal output.
ivreg2 log_wage age edu (training = Z1 Z2), cluster(firm_id) first endog(training)
* Look for the line "Cragg-Donald Wald F" and "Kleibergen-Paap rk Wald F" —
* and "Anderson-Rubin Wald test" for weak-IV-robust CIs.
* First-stage scatter (binscatter — residualizes age + edu)
binscatter training Z1, controls(age edu) nquantiles(20) ///
xtitle("Excluded instrument Z1") ytitle("Pr(training)") ///
title("Figure 2b. First-stage relationship (residualized)") ///
savegraph("figures/fig2b_first_stage.pdf") replace
3.5.3 RD: McCrary density + canonical RD plot
The signature RD figure is rdplot (CCT-style binned scatter with local-polynomial fit on each side), paired with the McCrary manipulation test. Together they answer: (a) is there a visual jump? (b) is the density continuous at the cutoff?
* (a) Canonical RD plot
rdplot outcome running_var, c(0) p(4) kernel(triangular) binselect(esmv) ///
graph_options(title("Figure 2c. RD plot") ///
ytitle("Outcome") xtitle("Running variable") ///
scheme(s2color))
graph export "figures/fig2c_rdplot.pdf", replace
* (b) McCrary density (manipulation test) — Cattaneo–Jansson–Ma 2018
rddensity running_var, c(0) plot ///
plot_options(title("Figure 2c-bis. McCrary density (manipulation test)"))
graph export "figures/fig2c_mccrary.pdf", replace
* (c) Covariate-adjusted continuity test (continuity of *covariates* at c)
foreach v of varlist age edu tenure {
rdrobust `v' running_var, c(0)
}
3.5.4 Matching: love plot (standardized differences pre vs post)
teffects psmatch (log_wage) (training age edu tenure), atet
tebalance summarize // table of pre/post SMDs
tebalance density ps // density overlap plot — save as figures/fig2d_overlap.pdf
graph export "figures/fig2d_overlap.pdf", replace
* Or use -psmatch2- + -pstest- for the canonical love plot
psmatch2 training age edu tenure, out(log_wage) n(1) common
pstest age edu tenure, both graph // pre/post |std diff| with target |Δ|<10%
graph export "figures/fig2d_loveplot.pdf", replace
3.5.5 SCM: synthetic-control trajectory + gap plot
For synthetic-control designs the canonical Figure 2 is the treated-vs-synthetic time series with treatment time annotated.
synth log_wage age edu tenure, ///
trunit(1) trperiod(2015) fig keep("synth_results.dta", replace)
graph export "figures/fig2e_synth_trajectory.pdf", replace
* Synthetic DID variant
sdid log_wage worker_id year training, vce(bootstrap) graph g1on
graph export "figures/fig2e_sdid.pdf", replace
* Placebo gap distribution
synth_runner log_wage age edu tenure, ///
trunit(1) trperiod(2015) gen_vars
effect_graphs, trlinediff(0)
graph export "figures/fig2e_placebo_gaps.pdf", replace
Identification-specific checks (PT for DID, weak-IV F, density for RD, common support for matching) are also auto-run inside the Step-5 estimators — don't duplicate the numerics here, but DO produce the figures: a referee scans the figures first.
Step 4 — Diagnostic statistical tests
Deeper patterns: references/04-statistical-tests.md — Shapiro–Wilk, Jarque–Bera, Breusch–Pagan, White, Cook–Weisberg, Durbin–Watson, Breusch–Godfrey, Wooldridge xtserial, Pesaran CD, xttest3, VIF, estat ovtest (RESET), Augmented Dickey–Fuller, KPSS, Phillips–Perron, Hausman (FE vs RE), Sargan–Hansen, estat firststage (weak IV).
* Baseline OLS to anchor diagnostics
reg log_wage training age edu tenure
* 4a. Normality of residuals
predict resid, resid
swilk resid // Shapiro–Wilk (N ≤ 5000)
sktest resid // skewness + kurtosis test
* 4b. Heteroskedasticity
estat hettest // Breusch–Pagan / Cook–Weisberg
estat imtest, white // White's general test
* 4c. Autocorrelation (panel)
xtset worker_id year
xtreg log_wage training age edu tenure, fe
xtserial log_wage training age edu tenure // Wooldridge serial-correlation
xttest3 // modified Wald groupwise hetero
* 4d. Cross-sectional dependence (panel)
xtcsd, pesaran abs // Pesaran CD test
* 4e. Multicollinearity
quietly reg log_wage training age edu tenure
estat vif
* 4f. Model specification
estat ovtest // Ramsey RESET
linktest // Stata "linktest"
* 4g. Stationarity (time series)
dfuller log_wage, lags(4) trend // ADF
kpss log_wage, maxlag(4) notrend // KPSS
pperron log_wage, lags(4) // Phillips–Perron
* 4h. Panel unit root (multiple series)
xtunitroot ips log_wage, lags(aic 4) // Im–Pesaran–Shin
xtunitroot llc log_wage, lags(aic 4) // Levin–Lin–Chu
* 4i. Hausman (after running FE and RE)
qui xtreg log_wage training age edu, fe
estimates store fe
qui xtreg log_wage training age edu, re
estimates store re
hausman fe re, sigmamore
Decision table:
| Test | Null | If rejected |
|---|
swilk / sktest | residuals Normal | large N: usually ignore; small N: bootstrap |
estat hettest / imtest, white | homoskedastic | use vce(robust) or vce(cluster id) |
xtserial / xttest3 | no panel autocorr / no groupwise hetero | cluster by unit |
xtcsd, pesaran | no cross-sectional dependence | Driscoll–Kraay or xtscc |
estat vif > 10 | — | drop/combine collinear regressors |
estat ovtest | specification OK | add polynomials / logs |
dfuller reject + kpss fail to reject | stationary | keep levels |
dfuller fail to reject | unit root | first-difference or cointegrate |
hausman | RE consistent | use FE |
Step 5 — Baseline empirical modeling (Section 4: Main Results)
Deeper patterns: references/05-modeling.md — every classical estimator with syntax: reg, areg, xtreg, reghdfe, ivreg2 / ivregress / ivreghdfe, logit / probit / ppmlhdfe, csdid / did_imputation / eventstudyinteract / sdid / did_multiplegt_dyn, rdrobust / rddensity / rdmc, synth / synth_runner, psmatch2 / teffects psmatch|ipw|ipwra|aipw, ebalance, heckman, qreg.
This is the densest section of an applied paper. A modern AER §4 typically contains 2–3 multi-regression tables and one coefficient plot:
- Table 2 (main): progressive controls, 4–6 columns — Pattern A below
- Table 2-bis (design horse race): same coefficient under OLS / IV / DID / matching — Pattern B
- Table 2-ter (multi-outcome): same treatment, several outcomes side-by-side — Pattern C
- Figure 3 (coefplot): visual summary of β̂ and 95% CI across specs
Estimator routing (memorize this — getting it wrong silently produces nonsense):
- No FE / single low-card FE →
reg y x1 x2, vce(cluster id)
- High-dim FE →
reghdfe y x1 x2, absorb(fe1 fe2) vce(cluster id)
- Two-way cluster →
reghdfe ..., vce(cluster fe1 fe2)
- 2SLS / IV →
ivreg2 y x (D = Z), cluster(id) first endog(D) (or ivreghdfe for HD FE + IV)
- DID / event-study →
csdid / eventstudyinteract / did_imputation
Pick the estimator by identification strategy:
Observational cross-section, selection on obs → reg + controls | teffects psmatch|ipwra
Observational panel, policy shock, parallel trends → csdid / did_imputation / eventstudyinteract / sdid
Exogenous instrument → ivreg2 / ivregress / ivreghdfe
Discontinuity in assignment rule → rdrobust (+ rddensity)
N=1 treated, long panel → synth / synth_runner
Selection on observables + heterogeneity → teffects aipw / ebalance
Binary outcome → logit / probit + margins
Count outcome → poisson / nbreg / ppmlhdfe
Canonical commands (a Stata equivalent of outreg2 / esttab is the workhorse — eststo 5–6 specs, then esttab consolidates them into one table). Key options:
keep(...) : list of coefficients to display (e.g. keep(training))
drop(...) : list of coefficients to suppress (controls / intercept)
mtitles("(1)" "(2)" ...) : column labels for the regression table
stats(N r2 r2_a, labels(...)) : footer rows
star(* 0.10 ** 0.05 *** 0.01) : AER stars
addnotes("...") : table footer (cluster level, FE absorbed, sample restrictions)
label booktabs : pretty-print + LaTeX booktabs borders
5.A Pattern A — Progressive controls (the canonical Table 2)
Stable β̂ across columns ⇒ less concern that selection on observables is driving the estimate (Oster 2019 selection-stability logic; quantified in Step 6.j). eststo m1...m6 + esttab is the Stata equivalent of outreg2 and R's modelsummary.
eststo clear
eststo m1: qui reg log_wage training, vce(cluster firm_id)
eststo m2: qui reg log_wage training age edu, vce(cluster firm_id)
eststo m3: qui reg log_wage training age edu tenure firm_size, vce(cluster firm_id)
eststo m4: qui reghdfe log_wage training age edu tenure firm_size, absorb(industry year) vce(cluster firm_id)
eststo m5: qui reghdfe log_wage training age edu tenure firm_size, absorb(worker_id year) vce(cluster firm_id)
eststo m6: qui reghdfe log_wage training age edu tenure firm_size, absorb(worker_id year i.industry#i.year) vce(cluster firm_id)
esttab m1 m2 m3 m4 m5 m6 using "tables/table2_main.tex", ///
replace se star(* 0.10 ** 0.05 *** 0.01) ///
label booktabs ///
mtitles("(1) Baseline" "(2) +Demog" "(3) +Labor-mkt" "(4) Ind×Yr FE" "(5) Worker FE" "(6) Ind×Yr × Worker FE") ///
stats(N r2 r2_a, labels("N" "R²" "Adj. R²")) ///
addnotes("Cluster-robust SE at firm_id in parentheses." ///
"* p<0.10, ** p<0.05, *** p<0.01.")
* Word version: same call with .rtf extension.
AER convention: show all controls — pass NEITHER keep() NOR drop() so every parameter is visible. Use keep(training) only when a focal-coefficient-only table is intentional (e.g. interaction-form heterogeneity, IV first-stage triplet); use drop(_cons) only when you want to suppress the constant for paper aesthetics.
5.B Pattern B — Design horse race (Table 2-bis)
Show the same coefficient of interest under multiple identification strategies. This is the AER credibility move: convergent evidence across designs each making different identifying assumptions.
eststo clear
eststo ols: qui reghdfe log_wage training age edu tenure, absorb(industry year) vce(cluster firm_id)
eststo iv: qui ivreg2 log_wage age edu tenure (training = Z1 Z2), cluster(firm_id)
eststo did: qui csdid log_wage age edu tenure, ivar(worker_id) time(year) gvar(first_treat) method(dripw) agg(group)
eststo psm: qui teffects psmatch (log_wage) (training age edu tenure), atet
eststo ebal: qui ebalance training age edu tenure
qui reg log_wage training age edu tenure [pw=_webal], vce(cluster firm_id)
eststo ebal_main
esttab ols iv did psm ebal_main using "tables/table2b_designs.tex", ///
replace se star(* 0.10 ** 0.05 *** 0.01) label booktabs ///
keep(training) ///
mtitles("(1) OLS+FE" "(2) 2SLS" "(3) CS-DID" "(4) PSM" "(5) Entropy bal.") ///
stats(N, labels("N")) ///
addnotes("Convergent evidence: same β̂ under five identification strategies.")
5.C Pattern C — Multi-outcome table (same X, several Y's)
A single treatment, several outcomes. Use mtitles so each column carries the Y name.
eststo clear
foreach y of varlist log_wage weeks_employed left_firm promoted {
eststo `y': qui reghdfe `y' training age edu tenure, ///
absorb(industry year) vce(cluster firm_id)
}
esttab log_wage weeks_employed left_firm promoted using "tables/table2c_multi_outcome.tex", ///
replace se star(* 0.10 ** 0.05 *** 0.01) label booktabs ///
keep(training) ///
mtitles("Log wage" "Weeks empl." "Left firm" "Promoted") ///
stats(N r2, labels("N" "R²")) ///
addnotes("Each column is a separate regression on the labelled outcome.")
5.D Pattern D — Stacked Panel A / Panel B table
Same model family, two horizons (short-run / long-run) or two samples (pre-2015 / post-2015). Stack vertically with two esttab calls + texdoc glue, OR use esttab ..., refcat() to inject panel headers.
* Panel A — short-run (1 year horizon)
eststo clear
eststo a1: qui reghdfe log_wage_t1 training X, absorb(industry year) vce(cluster firm_id)
eststo a2: qui reghdfe log_wage_t1 training X, absorb(worker_id year) vce(cluster firm_id)
* Panel B — long-run (5 year horizon)
eststo b1: qui reghdfe log_wage_t5 training X, absorb(industry year) vce(cluster firm_id)
eststo b2: qui reghdfe log_wage_t5 training X, absorb(worker_id year) vce(cluster firm_id)
* First panel — write
esttab a1 a2 using "tables/table2d_horizons.tex", replace ///
se star(* 0.10 ** 0.05 *** 0.01) label booktabs ///
keep(training) mtitles("(1) Industry FE" "(2) Worker FE") ///
refcat(training "\textbf{Panel A. Short-run (1 year)}", nolabel) ///
stats(N r2, labels("N" "R²"))
* Second panel — append
esttab b1 b2 using "tables/table2d_horizons.tex", append ///
se star(* 0.10 ** 0.05 *** 0.01) label booktabs ///
keep(training) mtitles("(1) Industry FE" "(2) Worker FE") ///
refcat(training "\textbf{Panel B. Long-run (5 years)}", nolabel) ///
stats(N r2, labels("N" "R²"))
5.E Pattern E — IV reporting triplet (first-stage / reduced-form / 2SLS)
The textbook AER IV table presents the first stage, the reduced form, and the 2SLS in three columns so the reader can verify Wald-ratio = RF / FS.
eststo clear
eststo fs: qui reghdfe training Z age edu, absorb(industry year) vce(cluster firm_id) // first stage
eststo rf: qui reghdfe log_wage Z age edu, absorb(industry year) vce(cluster firm_id) // reduced form
eststo iv: qui ivreghdfe log_wage age edu (training = Z), absorb(industry year) cluster(firm_id) first
esttab fs rf iv using "tables/table2e_iv_triplet.tex", ///
replace se star(* 0.10 ** 0.05 *** 0.01) label booktabs ///
keep(Z training) ///
mtitles("(1) First stage" "(2) Reduced form" "(3) 2SLS") ///
stats(N r2 widstat, labels("N" "R²" "First-stage F (KP)")) ///
addnotes("Wald ratio: $\hat\beta_{2SLS} = \hat\beta_{RF} / \hat\pi_{FS}$.")
IV triplet is intentionally focal: show only Z + endogenous regressor so the reader can eyeball the Wald ratio. Drop keep(Z training) only if a referee asks for the full coefficient list.
5.F Pattern F — Causal-orchestrator main via csdid / synth_runner / teffects
For DID / SCM / matching mains, the modern Stata estimator returns a self-contained estimate + automatic placebos / pre-trends / overlap diagnostics. Use the estimator's own report, then pipe into eststo + esttab.
* CS-DID with pre-trends test
csdid log_wage age edu tenure, ivar(worker_id) time(year) gvar(first_treat) ///
method(dripw) agg(group) saverif(csdid_rif.dta)
estat pretrend // joint zero on pre-period leads
estat simple // ATT(g) summary
estat event, window(-4 4) // dynamic ATT
csdid_estat aggte, type(group) saverif(att_g.dta)
eststo m_csdid
* Synth-runner with 50 placebo treated units → exact p-value on β̂_treated
synth_runner log_wage age edu tenure, trunit(1) trperiod(2015) gen_vars
single_treatment_graphs, do_color(red)
effect_graphs, trlinediff(0)
* Reports exact p-value from the placebo distribution.
* Teffects AIPW with overlap + balance check
teffects aipw (log_wage age edu tenure) (training age edu tenure)
tebalance summarize
eststo m_aipw
5.G Pattern G — Subgroup esttab (Table 3, see Step 7)
One column per subgroup. Detailed code in §Step 7 — Heterogeneity.
5.H Pattern H — Robustness master (Table A1, see Step 6)
Stack every robustness specification next to the baseline. Detailed code in §Step 6 — Robustness master.
Canonical estimator commands (the underlying primitives)
* 5a. OLS with cluster-robust SE
reg log_wage training age edu tenure, vce(cluster firm_id)
eststo ols_m1
* 5b. Two-way FE — reach for reghdfe (absorb HD FE; clusters any level)
reghdfe log_wage training age edu tenure, ///
absorb(worker_id year) vce(cluster worker_id)
eststo fe_m1
* Multi-way clustering
reghdfe log_wage training, absorb(worker_id year) ///
vce(cluster worker_id firm_id)
* High-dim FE (industry × year, firm × state)
reghdfe log_wage training, absorb(worker_id i.industry#i.year) ///
vce(cluster firm_id)
* 5c. 2×2 DID
reg log_wage i.treated##i.post age edu, vce(cluster worker_id)
* Or with absorbed FE:
reghdfe log_wage c.treated#c.post, absorb(worker_id year) ///
vce(cluster worker_id)
* 5d. Event study (dynamic DID, base period = -1)
* Build relative-time factor var, base at k = -1:
gen rel = rel_time + 10 // shift so -10..10 → 0..20
replace rel = 0 if missing(rel_time) // never-treated → bin 0
* (preferable: use -eventstudyinteract- or -did_imputation- — see reference 5.4)
reghdfe log_wage ib9.rel, absorb(worker_id year) vce(cluster worker_id)
coefplot, keep(*.rel) vertical omitted ///
yline(0) xline(9.5, lpattern(dash)) ///
xtitle("Years relative to treatment") ytitle("Coefficient (ATT)")
graph export "figures/event_study.pdf", replace
* 5e. Staggered DID — modern estimators (see references/05-modeling.md §5.4)
* Callaway–Sant'Anna (2021):
csdid log_wage, ivar(worker_id) time(year) gvar(first_treat) ///
method(dripw) agg(group)
* Sun & Abraham (2021):
eventstudyinteract log_wage rel_dummies_*, ///
cohort(first_treat) control_cohort(never_treated) ///
absorb(worker_id year) vce(cluster worker_id)
* Borusyak–Jaravel–Spiess (2024) imputation:
did_imputation log_wage worker_id year first_treat, ///
allhorizons pretrend(5)
* Synthetic DID (Arkhangelsky et al. 2021):
sdid log_wage worker_id year training, vce(bootstrap) ///
graph g1on g1_opt(ytitle("log wage"))
* 5f. IV / 2SLS — ivreg2 is the de-facto standard (full diagnostics)
ivreg2 log_wage age edu (training = draft_lottery), ///
cluster(firm_id) first endog(training)
* ivreghdfe for HD FE with IV:
ivreghdfe log_wage age (training = draft_lottery), ///
absorb(worker_id year) cluster(worker_id) first
* 5g. Sharp RD
rdrobust outcome running_var, c(0) kernel(triangular) bwselect(mserd)
rdplot outcome running_var, c(0)
* Fuzzy RD
rdrobust outcome running_var, c(0) fuzzy(treatment)
* Density test (McCrary / Cattaneo et al.)
rddensity running_var, c(0)
* 5h. Binary outcome — always follow with margins
logit employed training age edu, vce(cluster firm_id)
margins, dydx(training) atmeans
* 5i. Count outcome with HD FE
ppmlhdfe citations training age, absorb(firm_id year) ///
cluster(firm_id)
* 5j. Quantile regression
qreg log_wage training age edu, quantile(0.5)
sqreg log_wage training age edu, quantile(0.1 0.25 0.5 0.75 0.9) reps(500)
Step 6 — Robustness battery
Deeper patterns: references/06-robustness.md — progressive specs M1–M6 with eststo / esttab, bacondecomp for TWFE bias, honestdid (Rambachan–Roth), boottest wild-cluster bootstrap, ritest randomization inference, rwolf Romano–Wolf, alternative cluster levels, Oster δ*, placebo timing, subsample splits, specification curve via loops.
* 6a. Progressive specifications (M1 → M6)
eststo clear
eststo m1: qui reg log_wage training, vce(cluster firm_id)
eststo m2: qui reg log_wage training age edu, vce(cluster firm_id)
eststo m3: qui reghdfe log_wage training age edu tenure, ///
absorb(worker_id) vce(cluster worker_id)
eststo m4: qui reghdfe log_wage training age edu tenure, ///
absorb(worker_id year) vce(cluster worker_id)
eststo m5: qui reghdfe log_wage training age edu tenure, ///
absorb(worker_id year region) vce(cluster worker_id)
eststo m6: qui reghdfe log_wage training age edu tenure, ///
absorb(worker_id year i.industry#i.year) vce(cluster worker_id)
esttab m1 m2 m3 m4 m5 m6 using "tables/table_main.tex", ///
replace se star(* 0.10 ** 0.05 *** 0.01) ///
stats(N r2 r2_a, labels("N" "R²" "Adj. R²")) ///
label booktabs
* 6b. Alternative cluster levels
foreach c in worker_id firm_id industry state {
qui reghdfe log_wage training, absorb(worker_id year) vce(cluster `c')
display "cluster=`c' b=" _b[training] " se=" _se[training]
}
* 6c. Wild cluster bootstrap (few clusters)
qui reghdfe log_wage training, absorb(worker_id year) vce(cluster state)
boottest training, cluster(state) reps(9999) seed(42)
* 6d. Subsample splits
foreach mask in "female==0" "female==1" "age<40" "age>=40" {
qui reghdfe log_wage training if `mask', ///
absorb(worker_id year) vce(cluster worker_id)
display "`mask': b=" _b[training] " se=" _se[training] " N=" e(N)
}
* 6e. Placebo timing
gen fake_first = first_treat - 3
gen fake_post = (year >= fake_first)
preserve
keep if year < first_treat // drop real post-period
reghdfe log_wage fake_post, absorb(worker_id year) ///
vce(cluster worker_id)
restore
* 6f. Randomization inference (permutation)
ritest training _b[training], reps(1000) seed(0) ///
strata(worker_id): reghdfe log_wage training, ///
absorb(worker_id year) vce(cluster worker_id)
* 6g. Romano–Wolf multiple testing
rwolf log_wage employed hours_worked, indepvar(training) ///
controls(age edu) reps(500) seed(42) method(reghdfe) ///
fe(worker_id year) cluster(worker_id)
* 6h. TWFE bias diagnosis — Goodman-Bacon decomposition
bacondecomp log_wage training, ddetail
* 6i. Parallel trends sensitivity — HonestDiD
* (after running the event study and saving b/V)
honestdid, pre(1/4) post(5/9) mvec(0(0.1)0.5)
* 6j. Oster (2019) δ*
qui reg log_wage training // short
scalar bs = _b[training]; scalar r2s = e(r2)
qui reghdfe log_wage training age edu tenure, absorb(worker_id year)
scalar bl = _b[training]; scalar r2l = e(r2)
psacalc delta training, mcontrol(age edu tenure) rmax(1.3*r2l)
6.k Pattern H — Robustness master table (Table A1, one column per check)
The canonical AER appendix Table A1 stacks every robustness specification next to the baseline so reviewers see at a glance that β̂ survives. Build the list of eststo results dynamically:
eststo clear
* (1) Baseline
eststo base: qui reghdfe log_wage training age edu tenure, ///
absorb(industry year) vce(cluster firm_id)
* (2) Drop top 1% of wage
qui sum wage, detail
eststo no99: qui reghdfe log_wage training age edu tenure if wage < r(p99), ///
absorb(industry year) vce(cluster firm_id)
* (3) Balanced panel only
preserve
keep if e(sample) // start from baseline sample
bysort worker_id: egen n_obs = count(year)
qui sum n_obs, detail
keep if n_obs == r(max)
eststo balpan: qui reghdfe log_wage training age edu tenure, ///
absorb(industry year) vce(cluster firm_id)
restore
* (4) Drop early adopting cohorts
eststo dropearly: qui reghdfe log_wage training age edu tenure if first_treat > 2008, ///
absorb(industry year) vce(cluster firm_id)
* (5) Worker FE absorbed (selection on FE-removable unobservables)
eststo wfe: qui reghdfe log_wage training age edu tenure, ///
absorb(worker_id year) vce(cluster firm_id)
* (6) Two-way cluster (firm × year)
eststo cl2way: qui reghdfe log_wage training age edu tenure, ///
absorb(industry year) vce(cluster firm_id year)
* (7) Wild cluster bootstrap (after running the baseline)
qui reghdfe log_wage training age edu tenure, absorb(industry year) vce(cluster firm_id)
boottest training, cluster(firm_id) reps(9999) seed(42) nograph // returns CI
* Note bootstrapped p-value in the row footer of the master table.
* (8) Log outcome
eststo logy: qui reghdfe log_log_wage training age edu tenure, ///
absorb(industry year) vce(cluster firm_id)
* (9) IHS outcome (handles zeros)
gen ihs_wage = asinh(wage)
eststo ihsy: qui reghdfe ihs_wage training age edu tenure, ///
absorb(industry year) vce(cluster firm_id)
* (10) PSM-weighted outcome
qui psmatch2 training age edu tenure, out(log_wage) n(1) common
eststo psm: qui reg log_wage training age edu tenure if _support == 1, vce(cluster firm_id)
* (11) Entropy balance
ebalance training age edu tenure
eststo ebal: qui reg log_wage training age edu tenure [pw=_webal], vce(cluster firm_id)
esttab base no99 balpan dropearly wfe cl2way logy ihsy psm ebal ///
using "tables/tableA1_robustness.tex", ///
replace se star(* 0.10 ** 0.05 *** 0.01) label booktabs ///
keep(training) ///
mtitles("(1) Baseline" "(2) Drop top 1%" "(3) Balanced" "(4) Drop early" ///
"(5) Worker FE" "(6) 2-way cluster" "(7) log Y" "(8) IHS Y" ///
"(9) PSM" "(10) Entropy bal.") ///
stats(N r2, labels("N" "R²")) ///
addnotes("Each column is one robustness check. β̂ on training is the focal coefficient.")
6.l Specification curve (Simonsohn–Simmons–Nelson 2020) in Stata
esttab doesn't have a native spec-curve; loop over {controls × samples × outcome transforms × SE types}, store each β̂ + 95% CI in a frame, then plot.
capture frame drop spec
frame create spec spec_id b se lo hi label
local id 0
foreach controls in "age" "age edu" "age edu tenure" "age edu tenure firm_size" {
foreach trans in "log_wage" "ihs_wage" { // outcome transforms
foreach mask in "1" "industry==\"manuf\"" "wage < r(p99)" { // subsamples
foreach cl in "firm_id" "firm_id year" { // SE types
qui reghdfe `trans' training `controls' if `mask', ///
absorb(industry year) vce(cluster `cl')
local ++id
local b = _b[training]
local se = _se[training]
local lo = `b' - 1.96*`se'
local hi = `b' + 1.96*`se'
frame post spec (`id') (`b') (`se') (`lo') (`hi') ("c=`controls'/y=`trans'/s=`mask'/cl=`cl'")
}
}
}
}
frame change spec
sort b
gen rank = _n
twoway (rcap lo hi rank) (scatter b rank), ///
yline(0, lpattern(dash) lcolor(gs10)) ///
xtitle("Specification (sorted by β̂)") ytitle("Coefficient on training") ///
title("Figure 5. Specification curve") ///
legend(off) scheme(s2color)
graph export "figures/fig5_spec_curve.pdf", replace
graph export "figures/fig5_spec_curve.png", replace width(2400)
frame change default
A modern AER referee letter often asks "what about specification X?" — the spec curve answers all such asks at once.
6.m Sensitivity dashboard (HonestDiD + Oster + E-value, one block)
For DID main results, produce one figure (HonestDiD partial-identification bound) + one row of sensitivity stats (Oster δ + E-value).
* (a) HonestDiD — Rambachan-Roth (2023) bound on β̂ under bounded PT violation
* Re-run the event study and store b/V:
qui eventstudyinteract log_wage rel_d1-rel_d9, ///
cohort(first_treat) control_cohort(never_treated) ///
absorb(worker_id year) vce(cluster worker_id)
honestdid, pre(rel_d1 rel_d2 rel_d3) post(rel_d5 rel_d6 rel_d7 rel_d8 rel_d9) ///
mvec(0(0.1)0.5) coefplot
graph export "figures/fig6_honestdid.pdf", replace
* (b) Oster δ (Pattern: how big would selection on unobservables have to be?)
qui psacalc delta training, mcontrol(age edu tenure firm_size) rmax(1.3)
display "Oster δ for β=0: " r(delta)
* (c) E-value (Linden-Mathur 2020) — for binary / risk-ratio outcomes
* Convert OLS coefficient to risk-ratio scale first if applicable.
evalue rr, est(1.45) lcl(1.10) ucl(1.91)
* → reports the minimum strength of unmeasured confounding to nullify the result.
Step 7 — Further analysis (mechanism / heterogeneity / mediation / moderation)
Deeper patterns: references/07-further-analysis.md — factor-variable interactions, margins / marginsplot, triple-difference (DDD), outcome ladder, medsem / Baron–Kenny, khb (Karlson–Holm–Breen) for non-linear mediation, dose-response via xtile or splines, subgroup event studies.
* 7a. Heterogeneity via interaction — coefficient IS the heterogeneity test
reghdfe log_wage c.training##i.female age edu, ///
absorb(worker_id year) vce(cluster worker_id)
margins, dydx(training) at(female=(0 1))
marginsplot, title("Marginal effect of training by gender") ///
ytitle("dY/d(training)")
graph export "figures/het_female.pdf", replace
* Continuous moderator
reghdfe log_wage c.training##c.tenure age edu, ///
absorb(worker_id year) vce(cluster worker_id)
margins, dydx(training) at(tenure=(0(2)20))
marginsplot
* 7b. Subgroup estimation + Wald test of equality
eststo clear
eststo m_male: qui reghdfe log_wage training if female==0, ///
absorb(worker_id year) vce(cluster worker_id)
eststo m_female: qui reghdfe log_wage training if female==1, ///
absorb(worker_id year) vce(cluster worker_id)
suest m_male m_female // joint covariance
test [m_male_mean]training = [m_female_mean]training // Wald test
* 7c. Triple difference (DDD)
reghdfe log_wage c.treated##c.post##c.high_exposure, ///
absorb(worker_id year) vce(cluster firm_id)
* coefficient on treated#post#high_exposure IS the differential DID
* 7d. Outcome ladder
eststo clear
foreach y of varlist hours_worked productivity log_wage {
eststo: qui reghdfe `y' training, ///
absorb(worker_id year) vce(cluster worker_id)
}
esttab using "tables/mechanism_ladder.tex", replace ///
se label booktabs
* 7e. Mediation — Baron–Kenny (manual)
qui reghdfe log_wage training age edu, absorb(worker_id year)
scalar c = _b[training]
qui reghdfe hours_worked training age edu, absorb(worker_id year)
scalar a = _b[training]
qui reghdfe log_wage training hours_worked age edu, absorb(worker_id year)
scalar b_m = _b[hours_worked]
scalar cprim = _b[training]
display "Total = " c " Direct = " cprim " Indirect a*b = " a*b_m
* Or via -medsem- (for SEM-based mediation with bootstrap CI)
medsem, indep(training) med(hours_worked) dep(log_wage) ///
mcreps(1000)
* 7f. CATE via Nonparametric (grf) — typically fall back to Python econml
* See references/07-further-analysis.md §7.7 for the rpy2-style bridge.
* 7g. Dose-response (continuous treatment, decile bins)
xtile dose10 = training_hours, nq(10)
reghdfe log_wage i.dose10 age edu, absorb(worker_id year) vce(cluster worker_id)
margins i.dose10
marginsplot, recast(connected) ytitle("Predicted log wage") ///
xtitle("Training-hours decile")
graph export "figures/dose_response.pdf", replace
Step 8 — Publication tables & figures
This step is mandatory — every analysis run produces all 5 required tables (T1–T5) and all 4 required figures (F1–F4) defined in the Default Output Spec at the top of this skill. Do not skip Step 8 because "the regression already ran". A coefficient without a table and a figure is not how applied economics communicates a result.
Deeper patterns: references/08-tables-plots.md — esttab and outreg2 for regression tables; coefplot for coefficient plots, event studies, forest plots; marginsplot for interactions; binscatter for residualized scatter; rdplot for RD; twoway + combined graphs; Stata scheme / graph options; LaTeX / Word / Excel export.
* ============================================================
* 8a. ★ TABLE 2 — Main results, multi-column regression M1→M6
* (the centerpiece of every economics paper)
* ============================================================
esttab m1 m2 m3 m4 m5 m6 using "tables/table2_main.tex", ///
replace ///
se star(* 0.10 ** 0.05 *** 0.01) ///
stats(N r2 r2_a fe_worker fe_year fe_indyr, ///
labels("N" "R²" "Adj. R²" "Worker FE" "Year FE" "Industry×Year FE")) ///
keep(training age edu tenure) ///
order(training age edu tenure) ///
mtitles("(1) Raw" "(2) +Demog" "(3) +Tenure" "(4) +Unit FE" "(5) +2-way FE" "(6) +Ind×Yr FE") ///
label booktabs nonumbers noobs ///
addnotes("Cluster-robust standard errors at worker_id level in parentheses." ///
"* p<0.10, ** p<0.05, *** p<0.01.")
* Word version
esttab m1 m2 m3 m4 m5 m6 using "tables/table2_main.rtf", replace ///
se star(* 0.10 ** 0.05 *** 0.01) label ///
mtitles("(1)" "(2)" "(3)" "(4)" "(5)" "(6)")
* outreg2 — alternative (one-line, broad compatibility)
* reghdfe log_wage training age edu tenure, absorb(worker_id year)
* outreg2 using "tables/table2_main_outreg2.doc", replace label dec(3) ///
* addtext(Worker FE, YES, Year FE, YES)
* ============================================================
* 8b. TABLE 1 — Summary statistics & balance
* ============================================================
balancetable training age edu tenure female ///
using "tables/table1_balance.tex", ///
vce(cluster firm_id) replace ///
varlabels pval booktabs
asdoc sum log_wage training age edu tenure female, ///
by(training) stat(N mean sd min median max) ///
save(tables/table1_balance.rtf) replace
* ============================================================
* 8c. TABLE 3 — Mechanism / outcome ladder (3+ outcomes)
* ============================================================
eststo clear
foreach y of varlist hours_worked productivity log_wage {
eststo: qui reghdfe `y' training age edu tenure, ///
absorb(worker_id year) vce(cluster worker_id)
}
esttab using "tables/table3_mechanism.tex", replace ///
se star(* 0.10 ** 0.05 *** 0.01) label booktabs ///
mtitles("Hours worked" "Productivity" "Log wage") ///
keep(training) ///
addnotes("Each column is a separate regression of the labelled outcome on training," ///
"with worker and year FE and cluster-robust SE at worker_id.")
* ============================================================
* 8d. TABLE 4 — Heterogeneity (subgroup × main coef + Wald)
* ============================================================
eststo clear
eststo all: qui reghdfe log_wage training, ///
absorb(worker_id year) vce(cluster worker_id)
eststo male: qui reghdfe log_wage training if female==0, ///
absorb(worker_id year) vce(cluster worker_id)
eststo female: qui reghdfe log_wage training if female==1, ///
absorb(worker_id year) vce(cluster worker_id)
eststo young: qui reghdfe log_wage training if age<40, ///
absorb(worker_id year) vce(cluster worker_id)
eststo old: qui reghdfe log_wage training if age>=40, ///
absorb(worker_id year) vce(cluster worker_id)
eststo manuf: qui reghdfe log_wage training if industry=="manufacturing", ///
absorb(worker_id year) vce(cluster worker_id)
esttab all male female young old manuf using "tables/table4_heterogeneity.tex", ///
replace se star(* 0.10 ** 0.05 *** 0.01) label booktabs ///
mtitles("All" "Female=0" "Female=1" "Age<40" "Age≥40" "Manuf.") ///
keep(training) ///
addnotes("Cluster-robust SE at worker_id. Wald p-values for cross-subgroup equality" ///
"(via -suest-) should accompany this table — see references/07.")
* ============================================================
* 8e. TABLE 5 — Robustness battery (alt SE / cluster / sample / placebo)
* ============================================================
eststo clear
eststo base: qui reghdfe log_wage training, absorb(worker_id year) vce(cluster worker_id)
eststo cl_firm: qui reghdfe log_wage training, absorb(worker_id year) vce(cluster firm_id)
eststo cl_2way: qui reghdfe log_wage training, absorb(worker_id year) vce(cluster worker_id firm_id)
eststo wins: qui reghdfe log_wage_w1 training, absorb(worker_id year) vce(cluster worker_id)
eststo dropmf: qui reghdfe log_wage training if industry!="manufacturing", ///
absorb(worker_id year) vce(cluster worker_id)
eststo placebo: qui reghdfe log_wage fake_post if year < first_treat, ///
absorb(worker_id year) vce(cluster worker_id)
esttab base cl_firm cl_2way wins dropmf placebo using "tables/table5_robustness.tex", ///
replace se star(* 0.10 ** 0.05 *** 0.01) label booktabs ///
mtitles("Baseline" "Cluster=Firm" "2-way Cluster" "Winsor 1/99" "Drop Manuf." "Placebo (-3 yr)") ///
keep(training fake_post)
* ============================================================
* 8f. ★ FIGURE 3 — Coefficient plot across M1→M6
* ============================================================
coefplot m1 m2 m3 m4 m5 m6, keep(training) ///
vertical yline(0, lpattern(dash)) ///
ciopts(recast(rcap)) ///
levels(95) ///
ylabel(, angle(0)) ///
xtitle("Specification") ytitle("Coefficient on training (95% CI)") ///
title("Effect of training across specifications") ///
scheme(s2color)
graph export "figures/fig3_coefplot.pdf", replace
graph export "figures/fig3_coefplot.png", replace width(2400)
* ============================================================
* 8g. FIGURE 2 — Event-study plot (dynamic DID, base period = -1)
* ============================================================
* (after running -eventstudyinteract- or -csdid- or reghdfe with relative-time factor)
coefplot, keep(*.rel) vertical omitted ///
xline(9.5, lpattern(dash)) yline(0, lpattern(dash)) ///
xtitle("Years relative to treatment") ///
ytitle("Coefficient (ATT, 95% CI)") ///
title("Event study: dynamic effect of training") ///
ciopts(recast(rcap)) ///
scheme(s2color)
graph export "figures/fig2_event_study.pdf", replace
graph export "figures/fig2_event_study.png", replace width(2400)
* ============================================================
* 8h. FIGURE 4 — Sensitivity / robustness curve
* (HonestDiD post-DID; or forest plot of robustness battery)
* ============================================================
* HonestDiD sensitivity (after the event study with stored b/V):
honestdid, pre(1/4) post(5/9) mvec(0(0.1)0.5) coefplot
graph export "figures/fig4_sensitivity.pdf", replace
graph export "figures/fig4_sensitivity.png", replace width(2400)
* Alternative: forest plot of subgroup / robustness coefficients
* coefplot (all, label(All)) (male, label(Male)) (female, label(Female)) ///
* (young, label(Age<40)) (old, label(Age≥40)) (manuf, label(Manuf.)), ///
* keep(training) xline(0, lpattern(dash)) ciopts(recast(rcap)) ///
* title("Heterogeneity forest plot")
* graph export "figures/fig4_forest.pdf", replace
* ============================================================
* 8i. FIGURE 1 — Trend / motivation (treated vs control over time)
* ============================================================
preserve
collapse (mean) log_wage, by(year training)
twoway (line log_wage year if training==1, lcolor(navy) lwidth(medthick)) ///
(line log_wage year if training==0, lcolor(cranberry) lwidth(medthick)), ///
xline(`policy_year', lpattern(dash) lcolor(gs8)) ///
legend(order(1 "Treated" 2 "Control") rows(1) position(6)) ///
xtitle("Year") ytitle("Mean log wage") ///
title("Treated vs control trend") ///
scheme(s2color)
graph export "figures/fig1_trend.pdf", replace
graph export "figures/fig1_trend.png", replace width(2400)
restore
* ============================================================
* 8j. Auxiliary plots (optional — produce when relevant to design)
* ============================================================
* Binscatter — residualized scatter
binscatter log_wage tenure, controls(age edu female) nquantiles(20) ///
savegraph("figures/figA_binscatter.pdf") replace
* RD plot (only when running_var exists)
* rdplot outcome running_var, c(0) ///
* graph_options(title("Effect of eligibility") ///
* ytitle("Outcome") xtitle("Running variable"))
* graph export "figures/figA_rdplot.pdf", replace
* Bacon decomposition plot — TWFE diagnostic
* bacondecomp log_wage training, ddetail
* graph export "figures/figA_bacon.pdf", replace
* ============================================================
* 8k. Graph theme (consistent styling across all figures)
* ============================================================
set scheme s2color
* or the modern: set scheme white_tableau (from -schemepack-)
Deliverables checklist (verify before declaring the run complete):
[ ] tables/table1_balance.tex [ ] figures/fig1_trend.pdf
[ ] tables/table2_main.tex ★ [ ] figures/fig2_event_study.pdf
[ ] tables/table3_mechanism.tex [ ] figures/fig3_coefplot.pdf
[ ] tables/table4_heterogeneity.tex
[ ] tables/table5_robustness.tex [ ] figures/fig4_sensitivity.pdf
[ ] tables/tableA1_robustness.tex [ ] figures/fig5_spec_curve.pdf
[ ] artifacts/sample_construction.json (footnote 4)
[ ] artifacts/data_contract.json
[ ] artifacts/result.json (reproducibility stamp — see 8l)
8l. Reproducibility stamp
The single artifact a journal's replication office (or a future co-author) needs to reproduce the headline number. Persist Stata version, seed, dataset hash, baseline coefficient + CI, and pointers to the protocol/contract:
* After the headline regression has run as `eststo base`:
qui estimates restore base
matrix b = e(b); matrix V = e(V)
local b_hat = b[1, "training"]
local se = sqrt(V["training","training"])
local lo = `b_hat' - 1.96 * `se'
local hi = `b_hat' + 1.96 * `se'
file open f using "artifacts/result.json", write replace
file write f "{" _n
file write f `" "stata_version": "`c(stata_version)'","' _n
file write f `" "current_date": "`c(current_date)' `c(current_time)'","' _n
file write f `" "seed": 42,"' _n
file write f `" "n_obs": `=e(N)',"' _n
file write f `" "estimand": "ATT","' _n
file write f `" "estimator": "`e(cmd)'","' _n
file write f `" "estimate": `b_hat',"' _n
file write f `" "se_cluster": `se',"' _n
file write f `" "ci95_lo": `lo',"' _n
file write f `" "ci95_hi": `hi',"' _n
file write f `" "pre_registration": "strategy.do","' _n
file write f `" "data_contract": "artifacts/data_contract.json","' _n
file write f `" "sample_log": "artifacts/sample_construction.json","' _n
file write f `" "paper_bundle": "tables/table2_main.tex"' _n
file write f "}" _n
file close f
Commit artifacts/result.json alongside the paper PDF. A referee should be able to run make clean && do main.do and bit-identically reproduce this JSON.
§A — Epidemiology / Public Health Mode
When the user's wording flags Mode A (target-trial emulation / IPTW / TMLE / MR / STROBE / 流行病学 / 公共健康 / RWE / cohort), the 8 steps still apply — but Step 5 swaps the OLS-and-FE stack for the doubly-robust + survival + MR triplet, and the deliverables follow STROBE / TRIPOD-AI conventions. Steps 1–4 (cleaning, construction, Table 1, diagnostics) and Step 8 (tables/figures export) are identical to the Default mode.
Command footprint (install on top of the Default Stata stack):
ssc install eltmle // TMLE for binary outcome
ssc install mrrobust // Mendelian randomization (IVW / Egger / weighted median)
ssc install mregger // alternative MR-Egger implementation
ssc install mrpresso // outlier-robust MR
ssc install evalue // E-value sensitivity (Linden-Mathur)
ssc install strmst2 // RMST contrast for survival
ssc install gformula // parametric g-formula (time-varying)
* `teffects ipw / ipwra / aipw` are native to Stata 13+; no install needed.
A.0 Cohort construction + target-trial protocol
Write the protocol before touching the data. Save it as protocol.do and quote it in the paper.
*--- protocol.do — target-trial emulation skeleton ---
* eligibility: age 40-75, no prior MI, ascertained at t0
* treatment: A=1 statin initiation; A=0 no initiation
* assignment: emulated random at t0 via IPTW on baseline covariates
* outcome: incident MI within 5 years
* estimand: ITT ATE on risk difference + hazard ratio
use raw/cohort.dta, clear
keep if inrange(age, 40, 75) & prior_MI == 0
gen t0 = cond(missing(statin_initiation_date), enrollment_date, statin_initiation_date)
gen event_5y = (MI_date - t0 <= 365 * 5) & !missing(MI_date)
gen time_at_risk = min(censor_date - t0, 365 * 5)
stset time_at_risk, failure(event_5y)
A.1 Table 1 by exposure (identical to Default Step 3)
Use the same balancetable / asdoc tabstat from Step 3, just by(A). E-values for unmeasured confounding go in the footer.
balancetable A age edu smoke bmi ldl sbp using tables/tableA1_strobe.tex, ///
replace ctitles("Untreated" "Treated" "Diff (SE)") pvalues
A.2 DAG + propensity-score overlap (positivity check)
* Estimate PS via logit
logit A age edu smoke bmi ldl sbp
predict ps, pr
* Overlap density (positivity)
twoway (kdensity ps if A == 0) (kdensity ps if A == 1), ///
legend(order(1 "A=0" 2 "A=1")) xtitle("Propensity score")
graph export figures/figA2_ps_overlap.pdf, replace
* Love plot — pre vs post-IPTW SMDs
teffects ipw (event_5y) (A age edu smoke bmi ldl sbp)
tebalance summarize
tebalance density ps
graph export figures/figA2_love.pdf, replace
A.3 IPTW + g-formula + TMLE doubly-robust triplet (Step 5 swap)
The "AER Table 2" of epi: a 3-row table where each row is one of {IPTW-MSM via teffects ipw, IPWRA / AIPW via teffects aipw, TMLE via eltmle}, so the reader can confirm doubly-robust agreement.
* IPTW-MSM (marginal effect on risk difference)
eststo m_iptw: teffects ipw (event_5y) (A age edu smoke bmi ldl sbp), atet
* AIPW (doubly robust ATE)
eststo m_aipw: teffects aipw (event_5y age edu smoke bmi ldl sbp) ///
(A age edu smoke bmi ldl sbp)
* IPWRA — alternative DR estimator
eststo m_ipwra: teffects ipwra (event_5y age edu smoke bmi ldl sbp) ///
(A age edu smoke bmi ldl sbp)
* TMLE via eltmle (uses SuperLearner under the hood)
preserve
eltmle event_5y A age edu smoke bmi ldl sbp, tmle
restore
* Stack the triplet
esttab m_iptw m_aipw m_ipwra using tables/tableA3_dr_triplet.tex, ///
replace b(3) se(3) star(* 0.10 ** 0.05 *** 0.01) ///
mtitles("IPTW" "AIPW" "IPWRA") ///
title("Doubly-robust risk-difference triplet")
A.4 Survival outcomes — KM / Cox / AFT / RMST
* KM by treatment (already stset above)
sts graph, by(A) ci risktable
graph export figures/figA4_km.pdf, replace
* Cox HR (covariate-adjusted)
stcox A age edu smoke bmi ldl sbp
estimates store m_cox
* HR + 95% CI for A:
matrix b = e(b); matrix V = e(V)
local HR = exp(b[1, "A"])
local lo = exp(b[1, "A"] - 1.96*sqrt(V["A","A"]))
local hi = exp(b[1, "A"] + 1.96*sqrt(V["A","A"]))
display "HR = " %5.3f `HR' " 95% CI [" %5.3f `lo' ", " %5.3f `hi' "]"
* AFT (Weibull) for time-ratio interpretation
streg A age edu smoke bmi ldl sbp, distribution(weibull) time
* RMST contrast at t = 5 years
strmst2 A, tau(1825) covariates(age edu smoke bmi ldl sbp)
A.5 Mendelian randomization (IVW / Egger / weighted-median triplet)
* Two-sample MR with pre-extracted instrument betas/SEs
* (BX, BXSE, BY, BYSE in long format, one row per SNP)
mrrobust, beta_outcome(by) se_outcome(byse) beta_exposure(bx) se_exposure(bxse)
mregger by bx [aw=1/byse^2], gxse(bxse)
mrmedian by bx, weighted gxse(bxse) gyse(byse)
* Outlier-robust + heterogeneity sensitivity
mrpresso by bx, gxse(bxse) gyse(byse) outlier distortion seed(1) niter(1000)
* Stack the triplet
esttab using tables/tableA5_mr_triplet.tex, ///
replace mtitles("IVW" "MR-Egger" "Weighted median") ///
title("Mendelian randomization triplet")
A.6 Robustness — E-value / bounds / principal stratification
* E-value (Linden-Mathur Stata implementation) — required strength of unmeasured confounding
evalue rr, est(1.45) lcl(1.10) ucl(1.91)
A.7 STROBE / TRIPOD-AI reporting checklist
Save as replication/strobe_checklist.do (or .md) and tick before submission:
[ ] Eligibility criteria + dates (target-trial protocol)
[ ] Adjustment set with DAG justification (A.2)
[ ] Positivity / overlap diagnostic (A.2)
[ ] Doubly-robust triplet (IPTW + AIPW + TMLE) (A.3)
[ ] Risk difference + hazard ratio + RMST (A.3, A.4)
[ ] E-value for unmeasured confounding (A.6)
[ ] Loss-to-follow-up rate + censoring assumption (A.0)
[ ] Pre-registered protocol or analysis plan (A.0)
§B — ML Causal Inference Mode
When the user's wording flags Mode B (DML / meta-learner / causal forest / CATE / policy learning / 因果机器学习), the pipeline keeps Steps 1–4 and Step 8 from the Default mode, swaps Step 5 for the ML estimator stack, and adds a CATE-distribution + policy-value layer between Step 7 and Step 8.
Native vs Python callout: Stata 17+ ships first-class ML-causal commands for DML and causal forests. For neural causal (Dragonnet / TARNet / CEVAE), conformal causal, and fairness audit, the skill calls out to Python via Stata 18's python: block — clearly marked at each step.
Command footprint (install on top of the Default Stata stack):
ssc install ddml // double machine learning (Ahrens-Hansen-Schaffer-Wiemann)
ssc install pdslasso // post-double-selection lasso for high-dim controls
ssc install ivlasso // IV variant of pdslasso
ssc install crforest // causal forest (Athey-Tibshirani-Wager) for Stata
ssc install lassopack // covariate selection helpers
* For BART / BCF / Dragonnet / conformal: shell out to Python via `python:` block
* (Stata 18 ships first-class Python integration)
B.0 Train/holdout split + nuisance super-learner
DML / TMLE / Causal Forest are doubly-robust if the nuisance learners (outcome regression Q(X,A) = E[Y|X,A] and propensity g(A|X) = Pr(A=1|X)) converge faster than n^(-1/4). Use pystacked (Stata 18 + Python callout) to stack GBM / RF / Lasso / NN under cross-validation — that is the Stata equivalent of StatsPAI's SuperLearner.
set seed 42
gen u = runiform()
gen byte holdout = u > 0.7
* pystacked — installed via `python: import pystacked` (requires Stata 18 + Python ≥ 3.8)
ssc install pystacked, replace
* The standard nuisance pair (will be reused inside ddml below):
* ml_g = outcome model pystacked Y X*, type(reg) methods(ols rf gradboost lassocv)
* ml_m = propensity model pystacked D X*, type(class) methods(logit rf gradboost)
* For TMLE-style binary-outcome workflows, use -eltmle- which already wraps SL.
* Standalone holdout is needed for the OFF-policy evaluation in B.4 — DML / GRF
* handle their own cross-fitting internally and don't need a manual split.
B.1 DAG / estimand declaration (optionally LLM-assisted)
* Causal discovery is thin in Stata — call out to Python's causal-learn:
python:
import pandas as pd
from causallearn.search.ConstraintBased.PC import pc
from sfi import Data
df = pd.DataFrame({v: Data.get(v) for v in ["A","Y","X1","X2","X3","X4"]})
cg = pc(df.to_numpy())
cg.draw_pydot_graph(labels=list(df.columns)).write_pdf("figures/figB1_dag.pdf")
end
B.2 Estimator stack — DML · meta-learners · causal forest (Step 5 swap)
The "AER Table 2" of ML causal: a horse-race table where each column is one estimator family on the same (Y, A, X) data — readers want to see DML (PLR), DML (interactive), and causal forest all agree (or disagree) on the ATE.
*--- 1. DML — partially linear regression ---
ddml init partial, kfolds(5) reps(5)
ddml E[Y|X]: reg Y X1 X2 X3 X4
ddml E[Y|X]: pystacked Y X1 X2 X3 X4, type(reg) methods(rf gradboost lassocv)
ddml E[D|X]: reg A X1 X2 X3 X4
ddml E[D|X]: pystacked A X1 X2 X3 X4, type(reg) methods(rf gradboost lassocv)
ddml crossfit
ddml estimate, robust
eststo m_dml_plr
*--- 2. DML — interactive (heterogeneous treatment effects) ---
ddml init interactive, kfolds(5) reps(5)
ddml E[Y|X,D]: pystacked Y X1 X2 X3 X4, type(reg) methods(rf gradboost)
ddml E[D|X]: pystacked A X1 X2 X3 X4, type(class) methods(rf gradboost logit)
ddml crossfit
ddml estimate, atet
eststo m_dml_atet
*--- 3. Causal forest — non-parametric CATE ---
crforest Y A X1 X2 X3 X4, ntrees(2000) honesty
predict cate, te
eststo m_cf
*--- 4. (Optional) Neural causal (Dragonnet / TARNet) — Python callout ---
* Stata has no native neural-causal estimator; shell out to econml / causalml:
python:
import numpy as np, pandas as pd
from sfi import Data
from econml.dr import DRLearner
from econml.metalearners import XLearner
from sklearn.ensemble import GradientBoostingRegressor, GradientBoostingClassifier
df = pd.DataFrame({v: Data.get(v) for v in ["Y","A","X1","X2","X3","X4"]})
X = df[["X1","X2","X3","X4"]].values; T = df["A"].values; Y = df["Y"].values
dr = DRLearner(model_propensity=GradientBoostingClassifier(),
model_regression=GradientBoostingRegressor(),
model_final=GradientBoostingRegressor()).fit(Y, T, X=X)
ate, lo, hi = dr.ate(X), *dr.ate_interval(X)
Data.addVarFloat("cate_dr"); Data.store("cate_dr", range(len(df)), dr.effect(X))
end
*--- 5. (Optional) Bayesian Causal Forest (BCF) — R callout ---
* Use the bcf R package via -shell Rscript- to fit the full posterior over CATE.
* The R script writes posterior_summary.csv; we import it back as a frame:
* shell Rscript scripts/bcf.R
* import delimited posterior_summary.csv, clear case(preserve)
*--- 6. Stack the horse-race ---
esttab m_dml_plr m_dml_atet m_cf using tables/tableB2_ml_horserace.tex, ///
replace b(4) se(4) star(* 0.10 ** 0.05 *** 0.01) ///
mtitles("DML (PLR)" "DML (ATET)" "Causal forest") ///
stats(N, labels("N")) ///
title("ML causal horse-race on \$(Y, A, X)\$") ///
addnotes("DR-Learner / Dragonnet / BCF columns added via Python/R callouts when relevant.")
B.3 CATE distribution + subgroup CATE plot (Step 7 extension)
* CATE histogram from causal forest
histogram cate, frequency normal xtitle("CATE") xline(0)
graph export figures/figB3_cate_hist.pdf, replace
* CATE by quartile of a covariate
xtile age_q = X1, n(4)
collapse (mean) cate, by(age_q)
graph bar (asis) cate, over(age_q) ytitle("Mean CATE")
graph export figures/figB3_cate_by_age_q.pdf, replace
B.4 Policy learning + off-policy evaluation
* Stata's native policy-tree support is via crforest; for honest depth-3 trees,
* call out to R's policytree from within Stata:
shell Rscript scripts/policy_tree.R // saves policy_pred.csv
import delimited using policy_pred.csv, clear case(preserve)
* DR off-policy evaluation on holdout
keep if holdout
gen DR_match = (policy_pred == A) * Y - (policy_pred != A) * Y
summarize DR_match
display "DR policy value (holdout): " r(mean)
B.5 Uncertainty (conformal causal) + fairness + sensitivity
python:
# Conformal prediction interval around CATE — distribution-free coverage guarantee
import numpy as np
from sfi import Data
from sklearn.ensemble import GradientBoostingRegressor
from mapie.regression import MapieRegressor
df = ... # same DataFrame as B.1
mapie = MapieRegressor(estimator=GradientBoostingRegressor(), method="plus", cv=10)
# fit on training CATE, predict 90% PI on holdout
end
* Fairness audit — disparate impact (compute via teffects diff across sensitive groups)
foreach g in 0 1 {
quietly mean cate if sensitive_attr == `g'
matrix b = e(b)
display "Mean CATE in group `g': " b[1, 1]
}
B.6 ML-causal-specific reporting checklist
Save as replication/ml_causal_checklist.md:
[ ] Nuisance learners listed (Q model, g model, hyperparameters, CV folds)
[ ] Cross-fitting / sample-splitting documented (ddml kfolds(K) reps(R))
[ ] Overlap / propensity diagnostics (B.0 + A.2-style overlap plot)
[ ] CATE summary (mean, SD, quartiles) + heterogeneity p-value (crforest test)
[ ] Policy value with confidence interval (B.4)
[ ] Conformal coverage rate on holdout (B.5)
[ ] Fairness gaps across sensitive attributes (B.5)
[ ] DAG / adjustment set + sensitivity to unmeasured confounding (E-value or Manski bounds)
Library / command cheat-sheet
| Step | Task | Go-to command | Fallback |
|---|
| 1 | Import | use / import excel / import delimited / import sas / import spss | usespss / infile |
| 1 | Missing | misstable summarize / mdesc | missings report |
| 1 | Merge | merge m:1 ... assert(match using) | — |
| 1 | Panel | xtset / xtdescribe | tsset for pure TS |
| 2 | Winsorize | winsor2 | hand-roll via summ, detail + replace |
| 2 | Lag / lead / diff | L. / F. / D. (require xtset) | bys id (t): gen lx = x[_n-1] |
| 3 | Table 1 | tabstat + balancetable + asdoc sum | manual loop |
| 3 | Correlations | pwcorr, sig star(.05) | corr |
| 4 | Hetero | estat hettest / estat imtest, white | — |
| 4 | Panel serial | xtserial / xttest3 | — |
| 4 | Stationarity | dfuller / kpss / pperron / xtunitroot | — |
| 4 | Hausman | hausman fe re, sigmamore | — |
| 5 | OLS / panel FE | reghdfe | areg / xtreg, fe |
| 5 | IV | ivreg2 / ivreghdfe | ivregress 2sls |
| 5 | DID — 2×2 | reg / reghdfe with c.treated#c.post | — |
| 5 | DID — CS | csdid | — |
| 5 | DID — SA | eventstudyinteract | — |
| 5 | DID — imputation | did_imputation | did_multiplegt_dyn |
| 5 | DID — SDID | sdid | — |
| 5 | RD | rdrobust / rddensity / rdplot | rdmc for multi-cutoff |
| 5 | Synthetic control | synth / synth_runner | — |
| 5 | PSM | psmatch2 / teffects psmatch | — |
| 5 | IPW / AIPW | teffects ipw / teffects ipwra / teffects aipw | — |
| 5 | Entropy balancing | ebalance | — |
| 5 | Count + FE | ppmlhdfe | poisson / nbreg |
| 5 | Heckman | heckman | manual 2-step |
| 5 | Quantile | qreg / sqreg | bsqreg |
| 6 | Wild cluster boot | boottest | bootstrap, cluster() |
| 6 | Randomization inf | ritest | permute |
| 6 | Multiple testing | rwolf | wyoung |
| 6 | TWFE diagnosis | bacondecomp | — |
| 6 | PT sensitivity | honestdid | — |
| 6 | Oster δ* | psacalc delta | manual formula |
| 7 | Interaction margins | margins + marginsplot | — |
| 7 | Mediation | medsem / khb | manual Baron–Kenny |
| 7 | SEM / path | sem / gsem | — |
| 8 | Regression table | esttab (from estout) | outreg2 / xtable |
| 8 | Coefplot / eventstudy | coefplot | marginsplot |
| 8 | Binscatter | binscatter | twoway manual |
| 8 | RD plot | rdplot | — |
Common mistakes (and what to do instead)
| Mistake | Correct approach |
|---|
reg y x1 x2 on panel data with no FE | reghdfe y x1 x2, absorb(unit time) vce(cluster unit) |
| Default iid SEs on clustered data | vce(cluster id); boottest if clusters < 50 |
TWFE (reghdfe with treatment dummy) on staggered adoption | Use csdid / eventstudyinteract / did_imputation |
xtreg, fe with large panel (>10k units) | Switch to reghdfe — faster and allows multi-dim FE + multi-way cluster |
merge without assert() | Always specify assert(match using master) or similar |
Generating lag as L.x without xtset first | Run xtset id time before any time-series op |
ivregress without estat firststage | For weak-IV diagnostics, prefer ivreg2 — reports CD, KP, AR automatically |
| RD with a single bandwidth | rdrobust default reports MSE-optimal + sensitivity; also show rdbwselect and halve/double |
psmatch2 without balance check | Use pstest, both to report pre/post SMDs; target <10% |
Interpreting logit coefficients directly | Always run margins, dydx(*) — that's the interpretable quantity |
Reporting only estimates and manual copy-paste | esttab / outreg2 → LaTeX/Word/RTF automatically |
| Reporting only the headline coefficient (no Table 2) | Always ship the multi-column M1→M6 main table — that is the centerpiece of an economics paper, not the abstract sentence |
| Coefficient table without any figures | An economics result needs at least F1 trend + F2 event study + F3 coefplot + F4 sensitivity — see the Default Output Spec |
Saving graphs with graph save (.gph only) | Also graph export ..., replace to .pdf / .png |
| Not logging the session | log using main.log, replace at top of do-file |
gen x2 = x^2 instead of c.x##c.x inside regressions | Factor-variable notation plays nicely with margins |
Typical .do-file skeleton
* ============================================================
* main.do — reproducible 8-step pipeline
* ============================================================
version 17
clear all
set more off
capture log close
log using "logs/main.log", replace text
cd "/path/to/project"
* 1. Clean -----------------------------------------------------
do "code/01_clean.do" // produces data/analysis.dta
* 2. Transform -------------------------------------------------
do "code/02_transform.do" // adds engineered vars
* 3. Describe --------------------------------------------------
do "code/03_describe.do" // writes tables/table1_*, figures/*_trend.pdf
* 4. Diagnose --------------------------------------------------
do "code/04_diagnose.do" // writes logs/diagnostics.log
* 5. Model -----------------------------------------------------
do "code/05_model.do" // saves e() for m1–m6 via eststo
* 6. Robustify -------------------------------------------------
do "code/06_robust.do"
* 7. Further ---------------------------------------------------
do "code/07_further.do"
* 8. Export ----------------------------------------------------
do "code/08_tables_figures.do" // writes tables/*.tex, figures/*.pdf
log close
Every .do file loads data/analysis.dta, writes its outputs to tables/ or figures/, and saves a log. A clean make clean && do main.do regenerates the entire paper from raw data.
Regtable (esttab) cookbook (one-page recipe index)
eststo + esttab is the single primitive behind every multi-regression table in an AER paper. The eight patterns above map to:
| Pattern | What varies across columns | Step |
|---|
| A. Progressive controls | covariate set / FE depth | 5.A — Table 2 |
| B. Design horse race | identification strategy (OLS / IV / DID / PSM / EB) | 5.B — Table 2-bis |
| C. Multi-outcome | dependent variable Y | 5.C — Table 2-ter |
| D. Stacked Panel A / B | horizon / sample (panel rows × spec columns) | 5.D — Table 2-quater |
| E. IV reporting triplet | first stage / reduced form / 2SLS | 5.E — Table 2-quinto |
| F. Causal-orchestrator | 1 column, full diagnostics (csdid/synth_runner/teffects) | 5.F |
| G. Subgroup table | subsample (full / female / male / Q1…Q4) | 7.b — Table 3 |
| H. Robustness master | every robustness check stacked | 6.k — Table A1 |
Default esttab settings for AER house style:
esttab m1 ... mN using "tables/tableN.tex", ///
replace ///
se star(* 0.10 ** 0.05 *** 0.01) /// AER stars convention
label booktabs ///
mtitles("(1)" "(2)" ...) /// column labels
stats(N r2 r2_a, labels("N" "R²" "Adj. R²")) ///
addnotes("Cluster-robust SE in parentheses." ///
"* p<0.10, ** p<0.05, *** p<0.01.")
* Word version: same call with .rtf extension.
* For multi-panel paper bundles, chain esttab with `, append` (see 5.D / 8.5.4).
Figure factory (the 12 standard AER figures in Stata)
| # | Figure | Stata commands | Section |
|---|
| 1a | Raw trends (DID Figure 1) | collapse (mean) y, by(year treat) → twoway line | §1 (Step 3.e) |
| 1b | Treatment rollout heatmap | heatplot first_treat unit, color(...) | §1 |
| 2a | Event-study coefficients | eventstudyinteract → coefplot, keep(rel_d*) | §3 (Step 3.5.1) |
| 2a' | Bacon weights | bacondecomp y treat, ddetail → built-in graph | §3 |
| 2a'' | CS-DID dynamic effects | csdid → csdid_plot | §3 |
| 2b | First-stage scatter | binscatter D Z, controls(X) | §3 (Step 3.5.2) |
| 2c | RD canonical plot | rdplot Y X, c(0) | §3 (Step 3.5.3) |
| 2c' | McCrary density | rddensity X, c(0) plot | §3 |
| 2d | Matching love plot | pstest X, both graph (after psmatch2) | §3 (Step 3.5.4) |
| 2e | SCM trajectory | synth y X, trunit() trperiod() fig · sdid graph | §3 (Step 3.5.5) |
| 3 | Coefficient plot of main specs | coefplot m1...m6, keep(D) | §4 (Step 8.f) |
| 4a | Dose-response | xtile dose10 = D, nq(10) → margins i.dose10 → marginsplot | §5 (Step 7.g) |
| 4b | Margins-by-subgroup | margins, dydx(D) at(group=(0 1)) → marginsplot | §5 |
| 5 | Specification curve | hand-rolled spec loop → twoway rcap (see 6.l) | §7 |
| 6 | Sensitivity dashboard | honestdid, coefplot · psacalc plot · evalue | §7 (Step 6.m) |
| 7 | Final main figure | estimator-specific (csdid_plot, synth fig, rdplot) | §8 |
Every Stata figure is exported as both .pdf (for LaTeX) and .png ≥ 300 dpi (for slides / web). Use set scheme s2color (or white_tableau from schemepack) once at the top of master.do for consistent styling.
Method Catalog
Classical OLS / Panel
reg log_wage training age edu, vce(cluster firm_id) // OLS
areg log_wage training age edu, absorb(industry) vce(cluster firm_id) // OLS + 1 FE
xtreg log_wage training age edu, fe // panel FE
xtreg log_wage training age edu, re // panel RE (Hausman)
reghdfe log_wage training age edu, absorb(worker_id year) vce(cluster firm_id) // HD FE workhorse
reghdfe log_wage training, absorb(worker_id year) vce(cluster firm_id year) // 2-way cluster
ppmlhdfe count training, absorb(firm_id year) cluster(firm_id) // Poisson + FE
heckman log_wage training, select(in_lf = age edu marital kids) // Heckman selection
qreg log_wage training age, quantile(0.5) // quantile reg
sqreg log_wage training age, quantile(0.1 0.25 0.5 0.75 0.9) reps(500)
Difference-in-Differences
* 2×2
reghdfe log_wage c.treat#c.post, absorb(worker_id year) vce(cluster worker_id)
* Staggered — modern stack
csdid log_wage age edu, ivar(worker_id) time(year) gvar(first_treat) method(dripw) agg(group)
eventstudyinteract log_wage rel_d*, cohort(first_treat) control_cohort(never_treated) absorb(worker_id year) vce(cluster worker_id)
did_imputation log_wage worker_id year first_treat, allhorizons pretrend(5)
did_multiplegt_dyn log_wage worker_id year training, effects(5) placebo(3)
sdid log_wage worker_id year training, vce(bootstrap) graph
* Diagnostics + sensitivity
bacondecomp log_wage training, ddetail // TWFE diagnostic
honestdid, pre(rel_d1-rel_d3) post(rel_d5-rel_d9) mvec(0(0.1)0.5) // PT sensitivity
Instrumental Variables / 2SLS
ivregress 2sls log_wage age edu (training = Z), vce(cluster firm_id) // baseline
ivreg2 log_wage age edu (training = Z), cluster(firm_id) first endog(training) // workhorse: full diagnostics
ivreghdfe log_wage age (training = Z), absorb(industry year) cluster(firm_id) first
* Weak-IV diagnostics
estat firststage // (after ivregress)
* ivreg2 reports CD / KP / AR automatically.
Regression Discontinuity
rdrobust outcome running_var, c(0) kernel(triangular) bwselect(mserd) // Sharp RD (CCT)
rdrobust outcome running_var, c(0) fuzzy(treatment) // Fuzzy RD
rddensity running_var, c(0) plot // McCrary density
rdmc outcome running_var, cutoffs(0 5 10) // multi-cutoff
rdplot outcome running_var, c(0)
Matching / Reweighting
psmatch2 training age edu tenure, out(log_wage) n(1) common // PSM (canonical)
teffects psmatch (log_wage) (training age edu tenure), atet // PSM (modern)
teffects ipw (log_wage) (training age edu tenure), atet // IPW
teffects ipwra (log_wage age edu tenure) (training age edu tenure) // IPWRA
teffects aipw (log_wage age edu tenure) (training age edu tenure) // AIPW (DR)
ebalance training age edu tenure // entropy balancing
Synthetic Control
synth log_wage age edu, trunit(1) trperiod(2015) fig keep(synth.dta, replace)
synth_runner log_wage age edu, trunit(1) trperiod(2015) gen_vars // + 50 placebos
sdid log_wage worker_id year training, vce(bootstrap) graph
ML Causal (Mode B — see §B for the full pipeline)
ddml init partial, kfolds(5) reps(5) // DML setup
ddml E[Y|X]: pystacked Y X*, type(reg) methods(rf gradboost lassocv)
ddml E[D|X]: pystacked D X*, type(reg) methods(rf gradboost lassocv)
ddml crossfit
ddml estimate, robust
crforest log_wage training age edu, ntrees(2000) honesty // causal forest
predict cate, te
pdslasso log_wage training (X1-X100), cluster(firm_id) partial // post-double-selection
Robustness, Sensitivity & Inference
boottest training, cluster(state) reps(9999) seed(42) // wild cluster bootstrap
ritest training _b[training], reps(1000) seed(0): reghdfe ... // randomization inf.
rwolf y1 y2 y3, indepvar(training) controls(X) reps(500) ... // Romano-Wolf MTC
psacalc delta training, mcontrol(X) rmax(1.3) // Oster δ
honestdid, pre(...) post(...) mvec(0(0.1)0.5) // RR PT sensitivity
evalue rr, est(1.45) lcl(1.10) ucl(1.91) // E-value
xtcsd, pesaran abs // cross-sec dependence
Survival / Epi (Mode A — see §A)
stset time, failure(event)
sts graph, by(A) ci risktable // Kaplan-Meier
stcox A age edu // Cox
streg A age edu, distribution(weibull) time // AFT
strmst2 A, tau(1825) covariates(age edu) // RMST contrast
gformula ... // parametric g-formula
eltmle event A age edu, tmle // TMLE for binary outcome
mrrobust, beta_outcome(by) se_outcome(byse) beta_exposure(bx) se_exposure(bxse) // MR-IVW
mregger by bx [aw=1/byse^2], gxse(bxse) // MR-Egger
When to hand off to other skills
- Agent-native single-import Python workflow (
import statspai as sp) → 00-StatsPAI_skill.
- Explicit Python traditional stack →
00.1-Full-empirical-analysis-skill.
- Mixtape-style cross-language code templates (Python/R/Stata side-by-side) →
10-Jill0099-causal-inference-mixtape.
- Stata syntax reference (complete command catalog, Mata, etc.) →
32-dylantmoore-stata-skill.
- Stata for accounting research →
18-jusi-aalto-stata-accounting-research.
- Paper drafting after the analysis is done → the writing-oriented skills in this repo (
04-*-scientific-writer, 08-*-web-latex, etc.).
This skill's remit ends at Step 8 — polished .tex tables and .pdf figures. Paper drafting is out of scope.
