Robust Panel Event Study
A robust panel event study extends the standard panel event study design by applying heteroskedasticity- and autocorrelation-robust (HAC) standard errors and, where staggered treatment adoption exists, interaction-weighted estimators that remain valid even when treatment effects are heterogeneous across cohorts and time periods. It is widely used in economics, finance, and policy research to trace the dynamic causal path of an intervention.
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- Sun, L., & Abraham, S. (2021). Estimating dynamic treatment effects in event studies with heterogeneous treatment effects. Journal of Econometrics, 225(2), 175-199. · DOI 10.1016/j.jeconom.2020.09.006
- Freyaldenhoven, S., Hansen, C., Shapiro, J. M., & Weidner, M. (2021). Visualization, Identification, and Estimation in the Linear Panel Event-Study Design. NBER Working Paper No. 29170. · URL
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