Revisiting event-study designs: robust and efficient estimation

Kirill Borusyak, Xavier Jaravel and Jann Spiess

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We develop a framework for difference-in-differences designs with staggered treatment adoption and heterogeneous causal effects. We show that conventional regression-based estimators fail to provide unbiased estimates of relevant estimands absent strong restrictions on treatment-effect homogeneity. We then derive the efficient estimator addressing this challenge, which takes an intuitive “imputation” form when treatment-effect heterogeneity is unrestricted. We characterize the asymptotic behaviour of the estimator, propose tools for inference, and develop tests for identifying assumptions. Our method applies with time-varying controls, in triple-difference designs, and with certain non-binary treatments. We show the practical relevance of our results in a simulation study and an application. Studying the consumption response to tax rebates in the U.S., we find that the notional marginal propensity to consume is between 8 and 11% in the first quarter—about half as large as benchmark estimates used to calibrate macroeconomic models—and predominantly occurs in the first month after the rebate.

Keywords: difference-in-difference; efficiency; marginal propensity to consume (search for similar items in EconPapers)
JEL-codes: C21 C23 E21 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2024-11-30
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (68)

Published in Review of Economic Studies, 30, November, 2024, 91(6), pp. 3253 - 3285. ISSN: 0034-6527

Downloads: (external link)
http://eprints.lse.ac.uk/123781/ Open access version. (application/pdf)

Related works:
Journal Article: Revisiting Event-Study Designs: Robust and Efficient Estimation (2024)
Working Paper: Revisiting Event Study Designs: Robust and Efficient Estimation (2024)
Working Paper: Revisiting Event Study Designs: Robust and Efficient Estimation (2022)
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:ehl:lserod:123781

Access Statistics for this paper

More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager ().