Econometrics strikes back: GMM and two-way fixed effects

Enrique Pinzón
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Enrique Pinzón: StataCorp

French Stata Users' Group Meetings 2022 from Stata Users Group

Abstract: Two-way fixed effects is not a broken methodology. As Wooldridge (2021) shows, the estimator can be used to obtain heterogeneous treatment effects. I illustrate how to obtain these treatment effects using GMM. Additionally, I show how some other proposed estimators for heterogeneous treatment effects can be fit using GMM.

Date: 2022-08-01
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Persistent link: https://EconPapers.repec.org/RePEc:boc:fsug22:12

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