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Two-Way Fixed Effects Estimators with Heterogeneous Treatment Effects

Clément de Chaisemartin and Xavier D'Haultfoeuille

American Economic Review, 2020, vol. 110, issue 9, 2964-96

Abstract: Linear regressions with period and group fixed effects are widely used to estimate treatment effects. We show that they estimate weighted sums of the average treatment effects (ATE) in each group and period, with weights that may be negative. Due to the negative weights, the linear regression coefficient may for instance be negative while all the ATEs are positive. We propose another estimator that solves this issue. In the two applications we revisit, it is significantly different from the linear regression estimator.

JEL-codes: C21 C23 D72 J31 J51 L82 (search for similar items in EconPapers)
Date: 2020
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Working Paper: Two-way fixed effects estimators with heterogeneous treatment effects (2020) Downloads
Working Paper: Two-way Fixed Effects Estimators with Heterogeneous Treatment Effects (2019) Downloads
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DOI: 10.1257/aer.20181169

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