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Two-way fixed effects estimators with heterogeneous treatment effects

Author: Clement de Chaisemartin; Xavier d' Haultfoeuille; National Bureau of Economic Research,
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2019.
Series: Working paper series (National Bureau of Economic Research), no. 25904.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Linear regressions with period and group fixed effects are widely used to estimate treatment effects. We show that they identify weighted sums of the average treatment effects (ATE) in each group and period, with weights that may be negative. Due to the negative weights, the linear regression estimand may for instance be negative while all the ATEs are positive. In two articles that have used those regressions, half  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Clement de Chaisemartin; Xavier d' Haultfoeuille; National Bureau of Economic Research,
OCLC Number: 1104206998
Notes: "May 2019"
Includes online appendix (30 pages).
Description: 1 online resource (50 pages).
Series Title: Working paper series (National Bureau of Economic Research), no. 25904.
Responsibility: Clément de Chaisemartin, Xavier D'Haultfoeuille.

Abstract:

Linear regressions with period and group fixed effects are widely used to estimate treatment effects. We show that they identify weighted sums of the average treatment effects (ATE) in each group and period, with weights that may be negative. Due to the negative weights, the linear regression estimand may for instance be negative while all the ATEs are positive. In two articles that have used those regressions, half of the weights are negative. We propose another estimator that solves this issue. In one of the articles we revisit, it is of a different sign than the linear regression estimator.

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