borusyak / shift-share Goto Github PK

Hi Kirill,

I am planning to use the package to run SSIV regressions. I read the paper, and if I understood correctly, the package provides a way to generate equivalent estimates considering shock-level and location-level regressions.

I didn't get this using my own data. To test whether I did something wrong, I ran two regressions using the ADH data provided in the replication package. Following as closely as possible what the help file says, I ran the following regressions:

At the location-level:

use location_level, clear
ivreg2 y (x = z) year t2 Lsh_manuf

Using the package to get a shock-level dataset:

ssaggregate y x z l_sh_routine33, n(sic87dd) t(year) s(ind_share) sfile(Lshares) l(czone) controls("t2 Lsh_manuf")
	replace sic87dd = 0 if missing(sic87dd)
	merge 1:1 sic87dd year using shocks, assert(1 3) nogen
	merge m:1 sic87dd using industries, assert(1 3) nogen
	
	foreach v of varlist g year sic3 {
      replace `v'= 0 if sic87dd == 0
          }
ivreg2 y (x=g) year [aw=s_n], r

If I understood correctly, the two regressions should have the same estimate for the coefficient on x. What I get instead are -.27 and -.19.

Did I understand the paper's result incorrectly or am I running the wrong regression?

Thanks a lot for the awesome package!