On Event Studies and Distributed-lags in Two-way Fixed Effects Models

On Event Studies and Distributed-lags in Two-way Fixed Effects Models

Author: Kurt Schmidheiny

Publisher:

Published: 2022

Total Pages: 0

ISBN-13:

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We discuss properties and pitfalls of panel-data event study designs. We derive three main results. First, assuming constant treatment effects before and/or after some event time, also known as binning, is a natural restriction imposed on theoretically infinite effect windows. Binning identifies dynamic treatment effects in the absence of never-treated units and is particularly suitable in case of multiple events. Second, event study designs with binned endpoints and distributed-lag models are numerically identical leading to the same parameter estimates after correct reparametrization. Third, classic dummy variable event study designs can be generalized to models that account for multiple events of different sign and intensity of the treatment, which are common in public and labor economics. We demonstrate the practical relevance of our methodological points in an application studying the effects of unemployment benefit duration on job search effort.


On Event Study Designs and Distributed-lag Models

On Event Study Designs and Distributed-lag Models

Author: Kurt Schmidheiny

Publisher:

Published: 2019

Total Pages: 26

ISBN-13:

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We discuss important features and pitfalls of panel-data event study designs. We derive the following main results: First, event study designs and distributed-lag models are numerically identical leading to the same parameter estimates after correct reparametrization. Second, binning of effect window endpoints allows identification of dynamic treatment effects even when no never-treated units are present. Third, classic dummy variable event study designs can be naturally generalized to models that account for multiple events of different sign and intensity of the treatment, which are particularly interesting for research in labor economics and public finance.


Implementing the Panel Event Study

Implementing the Panel Event Study

Author: Damian Clarke

Publisher:

Published: 2020

Total Pages:

ISBN-13:

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Many studies estimate the impact of exposure to some quasi-experimental policy or event using a panel event study design. These models, as a generalized extension of 'difference-in-differences' or two-way fixed effect models, allow for dynamic lags and leads to the event of interest to be estimated, while also controlling for fixed factors (often) by area and time. In this paper we discuss the set-up of the panel event study design in a range of situations, and lay out a number of practical considerations for its estimation. We describe a Stata command eventdd that allows for simple estimation, inference, and visualization of event study models in a range of circumstances. We then provide a number of examples to illustrate eventdd's use and flexibility, as well as its interaction with various native Stata routines, and other relevant user-written libraries such as reghdfe and boottest.


Handbook of Corporate Finance

Handbook of Corporate Finance

Author: Bjørn Espen Eckbo

Publisher: Elsevier

Published: 2007-05-21

Total Pages: 559

ISBN-13: 0080488919

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Judging by the sheer number of papers reviewed in this Handbook, the empirical analysis of firms' financing and investment decisions—empirical corporate finance—has become a dominant field in financial economics. The growing interest in everything "corporate is fueled by a healthy combination of fundamental theoretical developments and recent widespread access to large transactional data bases. A less scientific—but nevertheless important—source of inspiration is a growing awareness of the important social implications of corporate behavior and governance. This Handbook takes stock of the main empirical findings to date across an unprecedented spectrum of corporate finance issues, ranging from econometric methodology, to raising capital and capital structure choice, and to managerial incentives and corporate investment behavior. The surveys are written by leading empirical researchers that remain active in their respective areas of interest. With few exceptions, the writing style makes the chapters accessible to industry practitioners. For doctoral students and seasoned academics, the surveys offer dense roadmaps into the empirical research landscape and provide suggestions for future work.*The Handbooks in Finance series offers a broad group of outstanding volumes in various areas of finance*Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance*The series is international in scope with contributions from field leaders the world over


Two-Way Fixed Effects and Differences-in-Differences with Heterogeneous Treatment Effects

Two-Way Fixed Effects and Differences-in-Differences with Heterogeneous Treatment Effects

Author: Clément de Chaisemartin

Publisher:

Published: 2022

Total Pages:

ISBN-13:

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Linear regressions with period and group fixed effects are widely used to estimate policies' effects: 26 of the 100 most cited papers published by the American Economic Review from 2015 to 2019 estimate such regressions. It has recently been show that those regressions may produce misleading estimates, if the policy's effect is heterogeneous between groups or over time, as is often the case. This survey reviews a fast-growing literature that documents this issue, and that proposes alternative estimators robust to heterogeneous effects.


Fixed Effects Regression Methods for Longitudinal Data Using SAS

Fixed Effects Regression Methods for Longitudinal Data Using SAS

Author: Paul D. Allison

Publisher:

Published: 2019-07-12

Total Pages: 160

ISBN-13: 9781642953237

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Fixed Effects Regression Methods for Longitudinal Data Using SAS, written by Paul Allison, is an invaluable resource for all researchers interested in adding fixed effects regression methods to their tool kit of statistical techniques. First introduced by economists, fixed effects methods are gaining widespread use throughout the social sciences. Designed to eliminate major biases from regression models with multiple observations (usually longitudinal) for each subject (usually a person), fixed effects methods essentially offer control for all stable characteristics of the subjects, even characteristics that are difficult or impossible to measure. This straightforward and thorough text shows you how to estimate fixed effects models with several SAS procedures that are appropriate for different kinds of outcome variables. The theoretical background of each model is explained, and the models are then illustrated with detailed examples using real data. The book contains thorough discussions of the following uses of SAS procedures: PROC GLM for estimating fixed effects linear models for quantitative outcomes, PROC LOGISTIC for estimating fixed effects logistic regression models, PROC PHREG for estimating fixed effects Cox regression models for repeated event data, PROC GENMOD for estimating fixed effects Poisson regression models for count data, and PROC CALIS for estimating fixed effects structural equation models. To gain the most benefit from this book, readers should be familiar with multiple linear regression, have practical experience using multiple regression on real data, and be comfortable interpreting the output from a regression analysis. An understanding of logistic regression and Poisson regression is a plus. Some experience with SAS is helpful, but not required.


Mostly Harmless Econometrics

Mostly Harmless Econometrics

Author: Joshua D. Angrist

Publisher: Princeton University Press

Published: 2009-01-04

Total Pages: 392

ISBN-13: 0691120358

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In addition to econometric essentials, this book covers important new extensions as well as how to get standard errors right. The authors explain why fancier econometric techniques are typically unnecessary and even dangerous.


Distributed Lags; Problems of Estimation and Formulation

Distributed Lags; Problems of Estimation and Formulation

Author: Phoebus J. Dhrymes

Publisher:

Published: 1971-01-01

Total Pages: 414

ISBN-13: 9780816222858

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Formulation of the lag distribution problem; The algebra of lag operators; Finite and infinite lag structures: approximation; Geometric lag structure; Finite lag structures; The general rational lag structure; Spectral analysis and estimation of distributed lag models; Discrimination among alternative lag structures: miscellaneous topics.


The SAGE Handbook of Regression Analysis and Causal Inference

The SAGE Handbook of Regression Analysis and Causal Inference

Author: Henning Best

Publisher: SAGE

Published: 2013-12-20

Total Pages: 425

ISBN-13: 1473908353

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′The editors of the new SAGE Handbook of Regression Analysis and Causal Inference have assembled a wide-ranging, high-quality, and timely collection of articles on topics of central importance to quantitative social research, many written by leaders in the field. Everyone engaged in statistical analysis of social-science data will find something of interest in this book.′ - John Fox, Professor, Department of Sociology, McMaster University ′The authors do a great job in explaining the various statistical methods in a clear and simple way - focussing on fundamental understanding, interpretation of results, and practical application - yet being precise in their exposition.′ - Ben Jann, Executive Director, Institute of Sociology, University of Bern ′Best and Wolf have put together a powerful collection, especially valuable in its separate discussions of uses for both cross-sectional and panel data analysis.′ -Tom Smith, Senior Fellow, NORC, University of Chicago Edited and written by a team of leading international social scientists, this Handbook provides a comprehensive introduction to multivariate methods. The Handbook focuses on regression analysis of cross-sectional and longitudinal data with an emphasis on causal analysis, thereby covering a large number of different techniques including selection models, complex samples, and regression discontinuities. Each Part starts with a non-mathematical introduction to the method covered in that section, giving readers a basic knowledge of the method’s logic, scope and unique features. Next, the mathematical and statistical basis of each method is presented along with advanced aspects. Using real-world data from the European Social Survey (ESS) and the Socio-Economic Panel (GSOEP), the book provides a comprehensive discussion of each method’s application, making this an ideal text for PhD students and researchers embarking on their own data analysis.