EconPapers    
Economics at your fingertips  
 

Two-way Fixed Effects and Differences-in-Differences Estimators with Several Treatments

Clément de Chaisemartin and Xavier D'Haultfoeuille

SciencePo Working papers Main from HAL

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. When a treatment is omitted from the regression, we obtain a new omitted variable bias formula, where bias can arise even if the treatments are not correlated with each other, but can be smaller than in the TWFE regression with all treatments. We propose an alternative difference-indifferences 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: 2022-10-03
Note: View the original document on HAL open archive server: https://hal-sciencespo.archives-ouvertes.fr/hal-03873908
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link)
https://hal-sciencespo.archives-ouvertes.fr/hal-03873908/document (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
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:hal:spmain:hal-03873908

DOI: 10.2139/ssrn.3751060

Access Statistics for this paper

More papers in SciencePo Working papers Main from HAL
Bibliographic data for series maintained by Contact - Sciences Po Departement of Economics ().

 
Page updated 2023-09-09
Handle: RePEc:hal:spmain:hal-03873908