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Data and code for: Difference-in-Differences Estimators with Continuous Treatments and no Stayers

Principal Investigator(s): View help for Principal Investigator(s) Clément De Chaisemartin, Sciences Po; Xavier D'Haultfoeuille, CREST-ENSAE; Gonzalo Vazquez-Bare, UC Santa Barbara

Version: View help for Version V1

Name	File Type	Size	Last Modified
Data-and-code			05/17/2024 02:48:PM
README.txt	text/plain		05/17/2024 10:41:AM

Project Citation:

De Chaisemartin, Clément, D’Haultfoeuille, Xavier, and Vazquez-Bare, Gonzalo. Data and code for: Difference-in-Differences Estimators with Continuous Treatments and no Stayers. Nashville, TN: American Economic Association [publisher], 2024. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2024-05-20. https://doi.org/10.3886/E197825V1

Project Description

Summary: Many treatments such as prices, taxes or temperatures are continuous in nature. Empirical researchers usually rely on two-way fixed effect regressions to estimate treatment effects in such cases. However, such estimators are not robust to heterogeneous treatment effects in general, and rely on linearity of treatment effects. We develop a difference-in-difference strategy for continuous treatments without imposing such restrictions, when there are no stayers: the treatment of all units changes between consecutive periods. We extend the nonparametric results of de Chaisemartin et al (2023) to this setup and present a parametric approach that overcomes some limitations of the nonparametric approach.

Scope of Project

Subject Terms: Difference-in-differences; heterogeneous treatment effects; continuous treatment effects

JEL Classification:
C21 Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
C23 Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models

Geographic Coverage: United States

Time Period(s): 1997 – 2002

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Published Versions

V2 [2024-06-05]

V1 [2024-05-20]

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