EconPapers    
Economics at your fingertips  
 

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
References: Add references at CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
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) Downloads
Working Paper: Two-way fixed effects and differences-in-differences estimators with several treatments (2023) Downloads
Working Paper: Two-way fixed effects and differences-in-differences estimators with several treatments (2023) Downloads
Working Paper: Two-way Fixed Effects and Differences-in-Differences Estimators with Several Treatments (2022) Downloads
Working Paper: Two-way Fixed Effects and Differences-in-Differences Estimators with Several Treatments (2022) Downloads
Working Paper: Two-way Fixed Effects and Differences-in-Differences Estimators with Several Treatments (2022) Downloads
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:arx:papers:2012.10077

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2024-11-16
Handle: RePEc:arx:papers:2012.10077