Example of difference in differences in a regression context with clustered SEs

DiD demo.R

# *-----------------------------------------------------------------
# | PROGRAM NAME: DiD demo.R
# | DATE: 2/5/19 
# | CREATED BY: MATT BOGARD 
# | PROJECT FILE:         
# *----------------------------------------------------------------
# | PURPOSE: demo of difference-in-difference estimation
# *----------------------------------------------------------------


options("scipen" =100, "digits" = 4) # override R's tendency to use scientific notation

setwd("//econometrics//projects")

df <- read.csv("DID toy dat.csv", na.strings=c(".", "NA", "", "?"), encoding="UTF-8")
# read last year's audit file

summary(lm(steps ~ treat + time + I(time*treat), data = df))


# use the cluster.vcov function to get variance-covariance matrix

library(multiwayvcov) # for cluster robust standard errors from glm model
library(lmtest) # to get coefficient estimates from glm model

m1 <- lm(steps ~ treat + time + I(time*treat), data = df) # save model
m1.vcovCL <- cluster.vcov(m1, df$id) # get variance-covariance matrix
coeftest(m1, m1.vcovCL) # results with clustered standard errors