Thank you StatDave_sas, I'm totally agree with you, if I adjust with VAR_ADJ, the parameter estimates for CASE and TIME are changed. What I find curious is that my interaction parameter TIME*CASE does not change with or without VAR_ADJ. The purpose of my model is precisely to adjust the difference in difference estimate (TIME*CASE). That's why I'm so embarrassed with this result. 😄
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