Brewer, M and Crossley, TF and Joyce, R (2018) Inference with Difference-in-Differences Revisited. Journal of Econometric Methods, 7 (1). p. 16. DOI https://doi.org/10.1515/jem-2017-0005
Brewer, M and Crossley, TF and Joyce, R (2018) Inference with Difference-in-Differences Revisited. Journal of Econometric Methods, 7 (1). p. 16. DOI https://doi.org/10.1515/jem-2017-0005
Brewer, M and Crossley, TF and Joyce, R (2018) Inference with Difference-in-Differences Revisited. Journal of Econometric Methods, 7 (1). p. 16. DOI https://doi.org/10.1515/jem-2017-0005
Abstract
A growing literature on inference in difference-in-differences (DiD) designs has been pessimistic about obtaining hypothesis tests of the correct size, particularly with few groups. We provide Monte Carlo evidence for four points: (i) it is possible to obtain tests of the correct size even with few groups, and in many settings very straightforward methods will achieve this; (ii) the main problem in DiD designs with grouped errors is instead low power to detect real effects; (iii) feasible GLS estimation combined with robust inference can increase power considerably whilst maintaining correct test size - again, even with few groups, and (iv) using OLS with robust inference can lead to a perverse relationship between power and panel length.
Item Type: | Article |
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Uncontrolled Keywords: | difference in differences; hypothesis tes; power; cluster robust; feasible GLS |
Subjects: | H Social Sciences > HB Economic Theory |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Economics, Department of Faculty of Social Sciences > Institute for Social and Economic Research |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 19 Sep 2017 14:10 |
Last Modified: | 06 Jan 2022 13:41 |
URI: | http://repository.essex.ac.uk/id/eprint/20372 |
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