2018/04/16 by Liyang Sun, Sun, Liyang, Sarah Abraham +1 · 80 citations
Economics, Econometrics and Finance · Mathematics · #Advanced Causal Inference Techniques #Statistical Methods and Bayesian Inference #Statistical Methods and Inference #econ.EM
paper · pdf · doi:10.48550/arxiv.1804.05785
51 pages, 3 figures
arxiv created 2020/09/22 · arxiv updated 2020/09/24
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.