A0877
Title: Double-robust two-way-fixed-effects regression for panel data
Authors: Lihua Lei - Stanford University (United States) [presenting]
Abstract: A new estimator is proposed for the average causal effects of a binary treatment with panel data in settings with general treatment patterns. The approach augments the two-way-fixed-effects specification with the unit-specific weights that arise from a model for the assignment mechanism. It is shown how to construct these weights in various settings, including situations where units opt into the treatment sequentially. The resulting estimator converges to an average (over units and time) treatment effect under the correct specification of the assignment model. It is shown that the estimator is more robust than the conventional two-way estimator: it remains consistent if either the assignment mechanism or the two-way regression model is correctly specified and performs better than the two- way-fixed-effect estimator if both are locally misspecified. This strong double robustness property quantifies the benefits of modelling the assignment process and motivates using our estimator in practice.
