arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2012.10077econ.EM
收藏

含多个处理变量的双向固定效应与双重差分估计量

Two-way Fixed Effects and Differences-in-Differences Estimators with Several Treatments

Clément de Chaisemartin, Xavier D'Haultfœuille

AI总结:

本文分析了含多个处理变量的双向固定效应回归,揭示其系数可能受其他处理效应污染且对异质性不稳健,并提出一种对异质性稳健且不受污染影响的双重差分估计量。

摘要:

我们研究了含有多个处理变量的双向固定效应回归(TWFE)。在平行趋势假设下,我们证明每个处理变量的系数识别的是该处理效应的加权和(权重可能为负),再加上其他处理变量效应的加权和。因此,这些估计量对异质性处理效应不稳健,并且可能受到其他处理变量效应的污染。我们进一步证明,与处理效应恒定时的情况不同,从回归中省略某个处理变量实际上可以减小估计量的偏误。我们提出了一种替代的双重差分估计量,该估计量对异质性处理效应稳健,并且不受污染问题的影响。在我们考虑的应用中,TWFE 回归识别出的效应组合高度非凸,且污染权重很大,其中一个系数与我们的异质性稳健估计量存在显著差异。

英文摘要:

We study two-way-fixed-effects regressions (TWFE) with several treatment variables. Under a parallel trends assumption, we show that the coefficient on each treatment identifies a weighted sum of that treatment's effect, with possibly negative weights, plus a weighted sum of the effects of the other treatments. Thus, those estimators are not robust to heterogeneous effects and may be contaminated by other treatments' effects. We further show that omitting a treatment from the regression can actually reduce the estimator's bias, unlike what would happen under constant treatment effects. We propose an alternative difference-in-differences estimator, robust to heterogeneous effects and immune to the contamination problem. In the application we consider, the TWFE regression identifies a highly non-convex combination of effects, with large contamination weights, and one of its coefficients significantly differs from our heterogeneity-robust estimator.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

↑