I am trying to analyse an experiment where in one region a treatment was given and in three other regions no treatment was given (control group). I have daily panel data for each region over a course of 12 weeks before the experiment and 2 weeks during the experiment. If I now run a Diff in Diff model and a two ways fixed effects model on this data, I get a significant positive effect when I use daily data, but no significant results with the weekly data (weekly aggregation is correct, I checked it multiple times).
Where could this difference come from? Shouldn't both give similar results? What is a general rule regarding the frequency of data for statistical significance?
The vertical line indicates the start of the experiment in Georgia.