Estimating dynamic treatment effects in event studies with heterogeneous treatment effects

• Published in: Journal of econometrics Vol. 225; no. 2; pp. 175 - 199
• Main Authors: Sun, Liyang, Abraham, Sarah
• Format: Journal Article
• Language: English
• Published: Amsterdam Elsevier B.V 01.12.2021; Elsevier Sequoia S.A
• Subjects: Contamination; Difference-in-differences; econometrics; Estimating techniques; Impact analysis; lead; Pretrend test; Quantitative analysis; Regression analysis; temporal variation; Two-way fixed effects; Pretrend test; Two-way fixed effects; Difference-in-differences
• ISSN: 0304-4076; 1872-6895
• DOI: 10.1016/j.jeconom.2020.09.006

To estimate the dynamic effects of an absorbing treatment, researchers often use two-way fixed effects regressions that include leads and lags of the treatment. We show that in settings with variation in treatment timing across units, the coefficient on a given lead or lag can be contaminated by eff...