Proportional Treatment Effects in Staggered Settings: An Approach for Poisson Pseudo-Maximum Likelihood

Ninon Moreau-Kastler ()
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Ninon Moreau-Kastler: EU Tax Observatory, Paris School of Economics

No 31, Working Papers from EU Tax Observatory

Abstract: I propose a counterfactual approach to measure proportional treatment effects for staggered multiplicative difference-in-differences (DiD) models with Poisson Pseudo-Maximum Likelihood (PPML). Two-way fixed effect (TWFE) linear estimators do not recover DiD estimates in the presence of a staggered treatment. I show that the wrong comparisons problem extends to TWFE PPML. I provide evidence that robust estimators for the linear case do not naturally extend to PPML, as aggregation of lower-level effects is challenging in the non-linear case. In these settings, my proposed estimator recovers a quantity analogous to that in the canonical 2-by-2 TWFE PPML model: the percent change of the average.

Keywords: PPML; difference-in-differences; ratio-of-ratios; staggered treatment (search for similar items in EconPapers)
JEL-codes: C21 C23 F14 H26 (search for similar items in EconPapers)
Pages: 59 pages
Date: 2025-05
New Economics Papers: this item is included in nep-ecm
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