Two-way fixed effects estimators with heterogeneous treatment effects

Clément de Chaisemartin and Xavier D'Haultf{\oe}uille

Papers from arXiv.org

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.

Date: 2018-03, Revised 2020-03
New Economics Papers: this item is included in nep-ecm
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Published in American Economic Review 2020 (110)

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http://arxiv.org/pdf/1803.08807 Latest version (application/pdf)

Related works:
Journal Article: Two-Way Fixed Effects Estimators with Heterogeneous Treatment Effects (2020)
Working Paper: Two-way Fixed Effects Estimators with Heterogeneous Treatment Effects (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1803.08807

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