Empirical likelihood confidence interval for difference-in-differences estimator with panel data

Shengfang Tang and Zhilin Huang

Economics Letters, 2022, vol. 216, issue C

Abstract: This paper develops an empirical likelihood approach to construct the confidence interval for the average treatment effect on the treated under the difference-in-differences framework. The empirical likelihood function is constructed based on a doubly robust moment function of the parameter of interest. Under some regularity conditions, we show that the proposed method retains the nonparametric Wilks property of empirical likelihood.

Keywords: Empirical likelihood; Confidence interval; Difference-in-differences; Average treatment effect on the treated (search for similar items in EconPapers)
JEL-codes: C12 C13 C14 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:216:y:2022:i:c:s0165176522001392

DOI: 10.1016/j.econlet.2022.110524

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