Difference?in?Difference Estimation by FE and OLS when there is Panel Non?Response

Michael Lechner, Núria Rodriguez-Planas and Daniel Fernández-Kranz ()
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Daniel Fernández-Kranz: IE Business School, Madrid
Authors registered in the RePEc Author Service: Daniel Fernandez Kranz

No 9490, IZA Discussion Papers from Institute of Labor Economics (IZA)

Abstract: We show that the OLS and fixed-effects (FE) estimators of the popular difference-in-differences model may deviate when there is time varying panel non-response. If such non-response does not affect the common-trend assumption, then OLS and FE are consistent, but OLS is more precise. However, if non-response is affecting the common-trend assumption, then FE estimation may still be consistent, while OLS will be inconsistent. We provide simulation as well as empirical evidence for this phenomenon to occur. We conclude that in case of unbalanced panels, deviating OLS and FE estimates should be considered as evidence that non-response is not ignorable for the differences-in-differences estimation.

Keywords: attrition; difference-in-difference estimation; balanced panel; panel estimation; unbalanced panel (search for similar items in EconPapers)
JEL-codes: C21 C31 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2015-11
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Published - published in: Journal of Applied Statistics, 2016, 43 (11), 2044-2052

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Journal Article: Difference-in-difference estimation by FE and OLS when there is panel non-response (2016)
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