Efficient Estimation and Inference for Difference-In-Difference Regressions with Persistent Errors

Ryan Greenaway-McGrevy, Chirok Han and Donggyu Sul ()

A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 33, pp 281-302 from Emerald Group Publishing Limited

Abstract: This paper is concerned with estimation and inference for difference-in-difference regressions with errors that exhibit high serial dependence, including near unit roots, unit roots, and linear trends. We propose a couple of solutions based on a parametric formulation of the error covariance. First stage estimates of autoregressive structures are obtained by using the Han, Phillips, and Sul (2011, 2013) X-differencing transformation. The X-differencing method is simple to implement and is unbiased in largeNsettings. Compared to similar parametric methods, the approach is computationally simple and requires fewer restrictions on the permissible parameter space of the error process. Simulations suggest that our methods perform well in the finite sample across a wide range of panel dimensions and dependence structures.

Keywords: Treatment effects; difference-in-difference estimation; serial dependence; x-differencing; Cochrane-Orcutt transformation; C33 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
https://www.emerald.com/insight/content/doi/10.110 ... 1-905320140000033009

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-905320140000033009

DOI: 10.1108/S0731-905320140000033009

Access Statistics for this chapter

More chapters in Advances in Econometrics from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().