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

Clément de Chaisemartin and Xavier D'Haultfoeuille

Working Papers 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://sciencespo.hal.science/hal-03873908
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Citations: View citations in EconPapers (8)

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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 (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)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-03873908

DOI: 10.2139/ssrn.3751060

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