Research Methods for Corporate, Securities, and Financial Law
Estimating Dynamic Treatment Effects in Event Studies with Heterogeneous Treatment Effects
Liyang Sun and Sarah Abraham
- Year
- 2021
- Venue
- Journal of Econometrics
- Level
- Advanced
Summary
Analyzes event-study regressions with leads and lags of an absorbing treatment under staggered adoption. The paper shows that conventional two-way fixed-effects coefficients can be contaminated by treatment effects from other periods and proposes an estimator designed to recover dynamic effects without that contamination.
Citation
Liyang Sun and Sarah Abraham. "Estimating Dynamic Treatment Effects in Event Studies with Heterogeneous Treatment Effects." Journal of Econometrics, 2021.
DOI: 10.1016/j.jeconom.2020.09.006
BibTeX
@article{Sun2021Estimating,
title = {Estimating Dynamic Treatment Effects in Event Studies with Heterogeneous Treatment Effects},
author = {Liyang Sun and Sarah Abraham},
year = {2021},
journal = {Journal of Econometrics},
doi = {10.1016/j.jeconom.2020.09.006},
url = {https://doi.org/10.1016/j.jeconom.2020.09.006}
}