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

Clément de Chaisemartin and Xavier D'Haultfoeuille

No 30564, NBER Working Papers from National Bureau of Economic Research, Inc

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. We further show that omitting a treatment from the regression can actually reduce the estimator’s bias, unlike what would happen under constant treatment effects. We propose an alternative difference-in-differences 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.

JEL-codes: C21 C23 (search for similar items in EconPapers)
Date: 2022-10
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Published as Clément de Chaisemartin & Xavier D’Haultfœuille, 2023. "Two-way fixed effects and differences-in-differences estimators with several treatments," Journal of Econometrics, vol 236(2).

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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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