Estimating dynamic treatment effects in event studies with heterogeneous treatment effects
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 eff...
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| Veröffentlicht in: | Journal of econometrics 2021-12, Vol.225 (2), p.175-199 |
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| container_title | Journal of econometrics |
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| creator | Sun, Liyang Abraham, Sarah |
| description | 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. |
| doi_str_mv | 10.1016/j.jeconom.2020.09.006 |
| format | Article |
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| ispartof | Journal of econometrics, 2021-12, Vol.225 (2), p.175-199 |
| issn | 0304-4076 1872-6895 |
| language | eng |
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| source | Access via ScienceDirect (Elsevier) |
| subjects | Contamination Difference-in-differences Estimating techniques Impact analysis Pretrend test Quantitative analysis Regression analysis Two-way fixed effects |
| title | Estimating dynamic treatment effects in event studies with heterogeneous treatment effects |
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