A Unified Framework for Dynamic Treatment Effect Estimation in Interactive Fixed Effect Models

Nicholas Brown and Kyle Butts ()
Additional contact information
Kyle Butts: University of Colorado Boulder, Economics Department

No 1495, Working Paper from Economics Department, Queen's University

Abstract: We present a unifying identification strategy of dynamic average treatment effect parameters for staggered interventions when parallel trends are valid only after controlling for interactive fixed effects. This setting nests the usual parallel trends assumption, but allows treated units to have heterogeneous exposure to unobservable macroeconomic trends. We show that any estimator that is consistent for the unobservable trends up to a non-singular rotation can be used to consistently estimate heterogeneous dynamic treatment effects. This result can apply to data sets with either many or few pre-treatment time periods. We also demonstrate the robustness of two-way fixed effects imputation to certain parallel trends violations and provide a test for its consistency. A quasi-long-differencing estimator is proposed and implemented to estimate the effect of Walmart openings on local economic conditions.

Keywords: factor model; panel treatment effect; causal inference; fixed-T (search for similar items in EconPapers)
JEL-codes: C13 C21 C23 C26 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2022-11
New Economics Papers: this item is included in nep-ecm
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://www.econ.queensu.ca/sites/econ.queensu.ca/files/wpaper/qed_wp_1495.pdf First version 2022 (application/pdf)

Related works:
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:qed:wpaper:1495

Access Statistics for this paper

More papers in Working Paper from Economics Department, Queen's University Contact information at EDIRC.
Bibliographic data for series maintained by Mark Babcock ().