Modeling Event Studies with Heterogeneous Treatment Effects

Laura Argys, Thomas Mroz and M. Melinda Pitts

No 2023-11, FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta

Abstract: This paper develops a simple approach to overcome the shortcomings of using a standard, single treatment–effect event study to assess the ability of an empirical model to measure heterogeneous treatment effects. Equally as important, we discuss how the standard errors reported in a typical event-study analysis for the posttreatment event-time effects are, without additional information, of limited use for assessing posttreatment variations in the treatment effects. The simple reformulation of the standard event—study approach described and illustrated with artificially constructed data in this paper overcomes the limitations of conventional event-study analyses.

Keywords: event studies; heterogeneous treatment effects (search for similar items in EconPapers)
JEL-codes: C22 C23 (search for similar items in EconPapers)
Pages: 28
Date: 2023-09-07
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Published in 2023

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedawp:96718

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DOI: 10.29338/wp2023-11

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