Shosei Sakaguchi, "Estimation of Average Treatment Effects Using Panel 
Data when Treatment Effect Heterogeneity Depends on Unobserved Fixed 
Effects", Journal of Applied Econometrics, Vol. 35, No. 3, 2020, pp. 
315-327.

Program files, written in Stata, and a CVS data file used for
empirical application are stored in "empirical_application.zip".
Program files, written in R, used for Monte Carlo simulations are
stored in "monte_carlo_simulation.zip". All files are ASCII files
in DOS format. Unix/Linux users should use "unzip -a".


1. Empirical Application

"empirical_application.zip"  contains the following files:

a. "mother_smoking.do": Stata program file to replicate the results in
   Tables 2 and 3

b. "birpanel2006.csv": data file

The dataset is taken from

J. Abrevaya, "Estimating the Effect of Smoking on Birth Outcomes Using a
Matched Panel Data Approach," Journal of Applied Econometrics, Vol. 21,
No. 4, 2006, pp. 489-519.

It is also available, in a slightly different form, at

http://qed.econ.queensu.ca/jae/2006-v21.4/abrevaya/

The results presented in the paper are computed using Stata SE 15 with
Windows 10. To obtain the results in Tables 2 and 3, put the code and
the data file in a folder, change "C:\Users\Shosei
Sakaguchi\OneDrive\Project panel_ate\Empirical Application" in line 18
of "mother_smoking.do" to the name of the folder that contains these
two files, and run "mother_smoking.do".


2. Monte Carlo Simulation

"monte_carlo_simulation.zip" contains the following R files:

a. "monte_carlo_simulation_Table1.R": R program file for Table 1

b. "monte_carlo_simulation_TablesB.1-B.2.R": R program file for Tables B.1
   and B.2 in the online appendix

c. "monte_carlo_simulation_TableB.3-B.4.R": R program file for Tables B.3
   and B.4 in the online appendix

d. "monte_carlo_simulation_TablesB.5-B.6.R": R program file for Tables B.5
   and B.6 in the online appendix

These codes require the following four packages: "MASS", "plm", "AER",
and "systemfit". The results presented in the paper are computed using
RStudio Version 1.1.463 with Windows 10.

Shosei Sakaguchi
Department of Economics
University College London
s.sakaguchi [AT] ucl.ac.uk