Two-way Fixed Effects and Differences-in-Differences Estimators with Several Treatments
Clément de Chaisemartin and
Xavier D'Haultf{\oe}uille
Authors registered in the RePEc Author Service: Xavier D'Haultfoeuille
Papers from arXiv.org
Abstract:
We study two-way-fixed-effects regressions (TWFE) with several treatment variables. Under a parallel trends assumption, we show that the coefficient on each treatment identifies a weighted sum of that treatment's effect, with possibly negative weights, plus a weighted sum of the effects of the other treatments. Thus, those estimators are not robust to heterogeneous effects and may be contaminated by other treatments' effects. We further show that omitting a treatment from the regression can actually reduce the estimator's bias, unlike what would happen under constant treatment effects. We propose an alternative difference-in-differences estimator, robust to heterogeneous effects and immune to the contamination problem. In the application we consider, the TWFE regression identifies a highly non-convex combination of effects, with large contamination weights, and one of its coefficients significantly differs from our heterogeneity-robust estimator.
Date: 2020-12, Revised 2023-04
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (17)
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http://arxiv.org/pdf/2012.10077 Latest version (application/pdf)
Related works:
Journal Article: Two-way fixed effects and differences-in-differences estimators with several treatments (2023) 
Working Paper: Two-way fixed effects and differences-in-differences estimators with several treatments (2023) 
Working Paper: Two-way fixed effects and differences-in-differences estimators with several treatments (2023) 
Working Paper: Two-way Fixed Effects and Differences-in-Differences Estimators with Several Treatments (2022) 
Working Paper: Two-way Fixed Effects and Differences-in-Differences Estimators with Several Treatments (2022) 
Working Paper: Two-way Fixed Effects and Differences-in-Differences Estimators with Several Treatments (2022) 
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