run_es: Event Study Estimation for Panel Data

In fixes: Tools for Creating and Visualizing Fixed-Effects Event Study Models

Event Study Estimation for Panel Data

Description

Runs an event study regression on panel data, supporting both classic (universal timing) and staggered (unit-varying timing via sunab). The function builds the design (lead/lag factor or sunab), estimates with fixest, and returns a tidy table with metadata.

Usage

run_es(
  data,
  outcome,
  treatment = NULL,
  time,
  timing,
  fe = NULL,
  lead_range = NULL,
  lag_range = NULL,
  covariates = NULL,
  cluster = NULL,
  weights = NULL,
  baseline = -1L,
  interval = 1,
  time_transform = FALSE,
  unit = NULL,
  staggered = FALSE,
  method = c("classic", "sunab"),
  estimator = c("twfe", "cs", "sa", "bjs"),
  control_group = c("nevertreated", "notyettreated"),
  anticipation = 0L,
  conf.level = 0.95,
  vcov = "HC1",
  vcov_args = list(),
  bootstrap = FALSE,
  B = 999L,
  alpha = 0.05,
  boot_seed = NULL
)

Arguments

data	A data.frame containing panel data.
outcome	Unquoted outcome (name or expression, e.g., log(y)).
treatment	Unquoted treatment indicator (0/1 or logical). Used only when method = "classic".
time	Unquoted time variable (numeric or Date).
timing	For classic: a numeric/Date (universal) or a variable (unquoted) if staggered = TRUE. For sunab: an unquoted variable with adoption time. For estimator = "cs": unquoted column giving each unit's first treatment period (NA = never treated).
fe	One-sided fixed-effects formula, e.g., ~ id + year. Can be NULL for no fixed effects. Ignored when estimator = "cs".
lead_range, lag_range	Integers for pre/post windows. If NULL, determined automatically.
covariates	One-sided formula of additional controls, e.g., ~ x1 + log(x2).
cluster	Cluster specification (one-sided formula like ~ id + year, a single character column name, or a vector of length nrow(data)).
weights	Observation weights (a name/one-sided formula or a numeric vector of length nrow(data)).
baseline	Integer baseline period (default -1); reference period excluded from results for both "classic" and "sunab" methods.
interval	Numeric spacing of the time variable (default 1; ignored internally for Dates).
time_transform	Logical; if TRUE, creates consecutive integer time within unit.
unit	Unit identifier variable (required when estimator = "cs" or time_transform = TRUE); also used for metadata when supplied.
staggered	Logical; if TRUE, timing is a variable (classic) or is used by sunab.
method	Either "classic" or "sunab" (default: "classic").
estimator	Estimation strategy: "twfe" (default, existing fixest-based paths), "cs" for the Callaway-Sant'Anna (2021) group-time ATT estimator, or "sa" for the Sun-Abraham (2021) interaction-weighted estimator.
control_group	For estimator = "cs": comparison group, either "nevertreated" (default) or "notyettreated".
anticipation	For estimator = "cs": number of anticipation periods before treatment (non-negative integer, default 0L).
conf.level	Numeric vector of confidence levels (default 0.95).
vcov	VCOV type passed to fixest::vcov() or used via broom::tidy(vcov = ...). Default "HC1".
vcov_args	List of additional arguments forwarded to fixest::vcov().
bootstrap	Logical; if TRUE and estimator = "cs", compute simultaneous confidence bands via the multiplier bootstrap (Algorithm 1, Callaway and Sant'Anna 2021). Adds conf_low_sim and conf_high_sim columns to the result and stores the full (g,t)-level bootstrap object as attr(result, "bootstrap"). Default FALSE.
B	Integer number of bootstrap draws (default 999). Used only when bootstrap = TRUE and estimator = "cs".
alpha	Significance level for the simultaneous band (default 0.05). Note: this is independent of conf.level, which governs the pointwise delta-method CIs.
boot_seed	Integer seed for the bootstrap RNG; NULL (default) does not set a seed. Pass an integer for reproducible results.

Value

A data.frame of class "es_result" with columns:

• term, estimate, std.error, statistic, p.value

• conf_low_XX, conf_high_XX (for each requested conf.level)

• relative_time (integer; 0 = event), is_baseline (logical; marks the reference period)

Attributes include: lead_range, lag_range, baseline, interval, call, model_formula, conf.level, N, N_units, N_treated, N_nevertreated, fe, vcov_type, cluster_vars, staggered, sunab_used.

Key Features

• One-step event study: specify outcome, treatment, time, timing, fixed effects, and (optionally) covariates.

• Switch between Classic (factor expansion) and Staggered-SAFE (method = "sunab").

• Flexible clustering, weights, and VCOV choices (e.g., vcov = "HC1" | "HC3" | "CR2" | "iid" ...).

• Automatic lead/lag window detection and customizable baseline period.

• Returns an "es_result" object compatible with print() and autoplot().

fixes documentation built on May 10, 2026, 9:06 a.m.