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Recent Advances in Estimation with DiD and Event-study Design (ECO-AD-ESTDID)

ECO-AD-ESTDID

Purpose

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see below
 

Description

>A 10-hour topics course in Recent advances in DD and TWFE models with heterogeneous treatment effects.
For two very good recent surveys see de Chaisemartin and D’Haultfœuille (dCDH 2023) and (more accessible) Roth et al. (2023). Also likely very useful (but I have not read these yet!): dCDH’s book draft (Difference-in-Differences for Simple and Complex Natural Experiments), and Arkhangelsky and Imbens (2024). Silvia Vannutelli has a nice video introduction to this literature. You can also find much more if you just google the econo- metricians primarily involved in this new burgeoning literature. For a nice discussion on identification assumptions in DD in general see Kahn-Lang and Lang (2020).

Evaluation
There will be 1 problem set (40%) and a take home exam (60%).

Selected References
Arkhangelsky, D., S. Athey, D. A. Hirshberg, G. W. Imbens, and S. Wager (2021). Synthetic difference-in-differences. American Economic Review 111(12), 4088-4118.
Callaway, B. and P. Sant’Anna (2021). Difference-in-differences with multiple time pe- riods. Journal of Econometrics 225(2), 200-230.
de Chaisemartin, C. and X. D’Haultfœuille (2020). Two-way fixed effects estimators with heterogeneous treatment effects. American Economic Review 110(9), 2964-2996.
de Chaisemartin, and D’Haultfœuille (2023). Two-way fixed effects and differences-in- differences with heterogeneous treatment effects: A survey. Econometrics Journal, 26(3), C1-C30.
de Chaisemartin, C. and X. D’Haultfœuille (2024). Difference-in-Differences estimators of intertemporal treatment effects. Forthcoming Review of Economics and Statistics.
Goodman-Bacon, A. (2021). Difference-in-differences with variation in treatment timing.
Journal of Econometrics 225(2), 254-277.
Kahn-Lang, and Lang (2020). The promise and pitfalls of differences-in-differences: Reflections on 16 and pregnant and other applications. Journal of Business & Economic Statistics 38(3), 613-620.
Rambachan, A. and J. Roth (2023). A more credible approach to parallel trends. Review of Economic Studies, 90, 2555-2591.
Roth, J. (2022). Pretest with caution: Event-study estimates after testing for parallel trends. American Economic Review: Insights 4(3), 305-22.
Roth, J., P. H. Sant’Anna, A. Bilinski, and J. Poe (2023). What’s trending in Difference- in-Differences? A synthesis of the recent econometrics literature. Journal of Econometrics, 235(2), 2218-2244.
Sun, L. and S. Abraham (2021). Estimating dynamic treatment effects in event studies with heterogeneous treatment effects. Journal of Econometrics 225(2), 175-199.
Wooldridge, J. M. (2021). Two-way fixed effects, the two-way Mundlak regression, and difference-in-differences estimators. Available at SSRN 3906345.
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