Estimating dynamic treatment effects in event studies with heterogeneous treatment effects
| Autor: | Sarah Abraham, Liyang Sun |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
Economics and Econometrics
Applied Mathematics Lag 05 social sciences Econometrics (econ.EM) Event study Estimator 01 natural sciences Difference in differences FOS: Economics and business 010104 statistics & probability Statistics 0502 economics and business Econometrics Environmental science 050207 economics 0101 mathematics Treatment timing Economics - Econometrics 050205 econometrics |
| Zdroj: | Journal of Econometrics. 225:175-199 |
| ISSN: | 0304-4076 |
| Popis: | To estimate the dynamic effects of an absorbing treatment, researchers often use two-way fixed effects regressions that include leads and lags of the treatment. We show that in settings with variation in treatment timing across units, the coefficient on a given lead or lag can be contaminated by effects from other periods, and apparent pretrends can arise solely from treatment effects heterogeneity. We propose an alternative estimator that is free of contamination, and illustrate the relative shortcomings of two-way fixed effects regressions with leads and lags through an empirical application. Comment: 51 pages, 3 figures |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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