Difference-in-differences with variation in treatment timing
处理时点存在差异的双重差分AI 解读 ↓
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处理时点存在差异的双重差分AI 解读 ↓
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The canonical difference-in-differences (DD) estimator contains two time periods, ”pre” and ”post”, and two groups, ”treatment” and ”control”. Most DD applications, however, exploit variation across groups of units that receive treatment at different times. This paper shows that the two-way fixed effects estimator equals a weighted average of all possible two-group/two-period DD estimators in the data. A causal interpretation of two-way fixed effects DD estimates requires both a parallel trends assumption and treatment effects that are constant over time. I show how to decompose the difference between two specifications, and provide a new analysis of models that include time-varying controls.
时变协变量下交错双重差分处理效应的双重稳健估计
With staggered adoption, difference-in-differences (DiD) analyses define the average treatment effect on the treated (ATT) at the group-period level and aggregate it into groupwise, periodwise, dynamic, and overall effects. We study a period-by-period version of conditional parallel trends, with covariates unaffected by treatment while allowing covariates to shift the trends in untreated potential outcomes. We propose an augmented inverse probability weighting (AIPW)…
含时变中介变量与滞后结果的双重差分模型
We study difference-in-differences (DiD) designs in which a binary treatment changes an endogenous time-varying (continuous, discrete, or mixed) mediator that in turn affects an outcome. We allow for the inclusion of lagged outcomes in the model. Under our model assumptions, we show that the usual DiD estimand mixes the average direct effect on the treated, the average indirect effect, and a trend bias term. A two-way fixed effects (TWFE) regression that controls for the…
各期处理均连续分布时的双重差分估计量
When studying the effects of taxes, tariffs, or prices using panel data, the treatment is often continuously distributed in every period. We develop difference-in-differences (DID) estimators for such settings. We partition units into switchers, whose treatment changes between consecutive periods, and stayers, whose treatment remains constant. Under a parallel-trends assumption, we show that the slopes of switchers' potential outcomes with respect to the treatment are…
协变量条件平行趋势下的双重差分
We consider difference-in-differences identification and estimation strategies when the parallel trends assumption holds conditional on covariates, which can be time-varying, time-invariant, or both. We uncover several weaknesses of two-way fixed effects (TWFE) regressions in this context. The most important, which we call \textit{hidden linearity bias}, arises because transformations that eliminate unit fixed effects also transform the covariates, either implicitly changing…
基于双重/去偏机器学习的时变连续处理双重差分
We propose a difference-in-differences (DiD) framework designed for time-varying continuous treatments across multiple periods. Specifically, we estimate the average treatment effect on the treated (ATET) by comparing distinct non-zero treatment intensities. Identification rests on a conditional parallel trends assumption that accounts for observed covariates and past treatment histories. Our approach allows for lagged treatment effects and, in repeated cross-sectional…
处理误分类与预期行为下的交错实施双重差分设计
This paper examines the identification and estimation of treatment effects in staggered adoption designs -- a common extension of the canonical Difference-in-Differences (DiD) model to multiple groups and time-periods -- in the presence of (time varying) misclassification of the treatment status as well as of anticipation. We demonstrate that standard estimators are biased with respect to commonly used causal parameters of interest under such forms of misspecification. To…