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Dif-in-Dif Estimators of Multiplicative Treatment Effects

Ciani, E and Fisher, P (2020) Dif-in-Dif Estimators of Multiplicative Treatment Effects. UNSPECIFIED. UNSPECIFIED.


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We consider a difference-in-differences setting with a continuous outcome. The standard practice is to take its logarithm and then interpret the results as an approximation of the multiplicative treatment effect on the original outcome. We argue that a researcher should rather focus on the non-transformed outcome when discussing causal inference. The first step should be to decide whether the time trend is more likely to hold in multiplicative or level form. If the former, it is preferable to estimate an exponential model by Poisson Pseudo Maximum Likelihood, which does not require statistical independence of the error term. Running OLS on the log-linearised model might instead lead to confounding distributional and mean changes. We illustrate the argument with a simulation exercise.

Item Type: Monograph (UNSPECIFIED)
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Institute for Social and Economic Research
Depositing User: Users 161 not found.
Date Deposited: 28 Aug 2014 09:37
Last Modified: 08 Apr 2021 00:15

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