Inference with difference-in-differences and other panel data

• 成果类型: Article
• 署名作者: Donald, Stephen G.; Lang, Kevin
• 署名单位: University of Texas System; University of Texas Austin; Boston University; National Bureau of Economic Research
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest.89.2.221
• 发表日期: 2007-05
• 页码: 221-233
• 关键词: health-insurance; incentives; regression; income

摘要

We examine inference in panel data when the number of groups is small, as is typically the case for difference-in-differences estimation and when some variables are fixed within groups. In this case, standard asymptotics based on the number of groups going to infinity provide a poor approximation to the finite sample distribution. We show that in some cases the t-statistic is distributed as t and propose simple two-step estimators for these cases. We apply our analysis to two well-known papers. We confirm our theoretical analysis with Monte Carlo simulations.