A simple and trustworthy asymptotic t test in difference-in-differences regressions
双重差分回归中简便可靠的渐近 t 检验
We propose an asymptotically valid t test that uses Student’s t distribution as the reference distribution in a difference-in-differences regression. For the asymptotic variance estimation, we adopt the clustering-by-time approach to accommodate cross-sectional dependence. This approach often assumes the clusters to be independent across time, but we allow them to be temporally dependent. The proposed t test is based on a special heteroscedasticity and autocorrelation robust…