Reusing Natural Experiments

• 成果类型: Article
• 署名作者: Heath, Davidson; Ringgenberg, Matthew C.; Samadi, Mehrdad; Werner, Ingrid M.
• 署名单位: Utah System of Higher Education; University of Utah; Federal Reserve System - USA; Federal Reserve System Board of Governors; University System of Ohio; Ohio State University; Center for Economic & Policy Research (CEPR); University System of Ohio; Ohio State University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13250
• 发表日期: 2023
• 页码: 2329-2364
• 关键词: false discovery rate; PRICE TESTS; multiple; identification; ECONOMICS; con

摘要

After a natural experiment is first used, other researchers often reuse the setting, examining different outcome variables. We use simulations based on real data to illustrate the multiple hypothesis testing problem that arises when researchers reuse natural experiments. We then provide guidance for future inference based on popular empirical settings including difference-in-differences, instrumental variables, and regression discontinuity designs. When we apply our guidance to two extensively studied natural experiments, business combination laws and the Regulation SHO pilot, we find that many results that were statistically significant using single hypothesis testing do not survive corrections for multiple hypothesis testing.