Pre-Event Trends in the Panel Event-Study Design

• 成果类型: Article
• 署名作者: Freyaldenhoven, Simon; Hansen, Christian; Shapiro, Jesse M.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of Chicago; Brown University; National Bureau of Economic Research
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20180609
• 发表日期: 2019
• 页码: 3307-3338
• 关键词: instrumental variables; GMM estimation; inference; selection; PROGRAMS; earnings; models; entry

摘要

We consider a linear panel event-study design in which unobserved confounds may be related both to the outcome and to the policy variable of interest. We provide sufficient conditions to identify the causal effect of the policy by exploiting covariates related to the policy only through the confounds. Our model implies a set of moment equations that are linear in parameters. The effect of the policy can be estimated by 2SLS, and causal inference is valid even when endogeneity leads to pre-event trends (pre-trends) in the outcome. Alternative approaches perform poorly in our simulations.