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Two-way Fixed Effects Estimators with Heterogeneous Treatment Effects

Clément de Chaisemartin and Xavier D'Haultfoeuille

No 25904, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Linear regressions with period and group fixed effects are widely used to estimate treatment effects. We show that they identify weighted sums of the average treatment effects (ATE) in each group and period, with weights that may be negative. Due to the negative weights, the linear regression estimand may for instance be negative while all the ATEs are positive. In two articles that have used those regressions, half of the weights are negative. We propose another estimator that solves this issue. In one of the articles we revisit, it is of a different sign than the linear regression estimator.

JEL-codes: C21 C23 (search for similar items in EconPapers)
Date: 2019-05
Note: AG CF CH DEV ED EEE HC HE IO ITI LS PE PR TWP
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Published as Clément de Chaisemartin & Xavier D’Haultfœuille, 2020. "Two-Way Fixed Effects Estimators with Heterogeneous Treatment Effects," American Economic Review, vol 110(9), pages 2964-2996.

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Journal Article: Two-Way Fixed Effects Estimators with Heterogeneous Treatment Effects (2020) Downloads
Working Paper: Two-way fixed effects estimators with heterogeneous treatment effects (2020) Downloads
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