A0947
Title: Fuzzy Wald ratio difference-in-differences and changes-in-changes estimator for spatiotemporal and spatial data
Authors: Andrej Srakar - Institute for Economic Research Ljubljana (Slovenia) [presenting]
Abstract: Difference-in-differences (DiD) literature is a fast growing field in econometrics. Topics such as presence of serial correlation, aggregating data, clustered standard errors, arbitrary covariance structures, parallel growth assumption, synthetic control, multiple and continuous treatments and staggered treatment adoption have been subject to recent research. In previous contributions DiD has been extended to spatial data using Hadamard product conditioned calculus. We extend this in a treatment effect with network interference context by controlling for violated stable unit treatment values assumption (SUTVA), inherent for such analysis but seldom controlled so far and in a spatiotemporal autoregressive setting. We develop a time-corrected Wald ratio DiD estimator based on fuzzy DiD approach with extensions to changes-in-changes estimation. We provide asymptotic analysis using functional delta and Stein approaches and present results of Monte Carlo simulations. In an application, we study causal effects of the yearly Venice carnival, being able to isolate the effect respective to other competing large events in Venice in the studied period. The application uses three stage approach of using ARIMA models in the first stage, Frechet mean and median based derivation of spatial matrices in the second stage, and our new estimator in the final third stage. In conclusion, we consider extensions using spillover double robust DiD and Bayesian approaches.
