Estimating Dynamic Treatment Effects in Event Studies with Heterogeneous Treatment Effects

Liyang Sun and Sarah Abraham

Papers from arXiv.org

Abstract: To estimate the dynamic effects of an absorbing treatment, researchers often use two-way fixed effects regressions that include leads and lags of the treatment. We show that in settings with variation in treatment timing across units, the coefficient on a given lead or lag can be contaminated by effects from other periods, and apparent pretrends can arise solely from treatment effects heterogeneity. We propose an alternative estimator that is free of contamination, and illustrate the relative shortcomings of two-way fixed effects regressions with leads and lags through an empirical application.

Date: 2018-04, Revised 2020-09
New Economics Papers: this item is included in nep-ecm and nep-exp
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Journal Article: Estimating dynamic treatment effects in event studies with heterogeneous treatment effects (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1804.05785

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