Software

dlm — Distributed Lag Models for Event Studies

R and Stata packages implementing distributed lag models, which generalize event-study regressions to continuous treatments. Based on the method of Schmidheiny and Siegloch (2023, JAE) and borrowing in part from their replication code. Supports covariates, additional fixed effects, clustered standard errors, and publication-ready event-study plots.

Documentation GitHub (R) GitHub (Stata)

Install (R):

devtools::install_github("tlcaputi/dlm")

Install (Stata):

net install dlm, from("https://raw.githubusercontent.com/tlcaputi/dlm-stata/main/")