The PCDID Approach: Difference-in-Differences When Trends Are Potentially Unparallel and Stochastic
PCDID:趋势可能非平行且随机时的主成分双重差分
We develop a class of regression-based estimators, called Principal Components Difference-in-Differences (PCDID) estimators, for treatment effect estimation. Analogous to a control function approach, PCDID uses factor proxies constructed from control units to control for unobserved trends, assuming that the unobservables follow an interactive effects structure. We clarify the conditions under which the estimands in this regression-based approach represent useful causal…