论文标题
随着时变的协变量的差异差异
Difference in Differences with Time-Varying Covariates
论文作者
论文摘要
本文考虑了参与二进制治疗的因果效应参数的识别和估计,当平行趋势假设对观察到的协变量进行调节后,在差异(DID)设置的差异(DID)设置中进行了识别和估计。相对于计量经济学文献中的现有工作,我们考虑了协变量的价值随着时间而变化的情况,并且可能会影响治疗的情况会影响协变量。在这两种情况下,我们都提出了新的经验策略。我们还考虑了包括时变回归器在内的双向固定效果(TWFE)回归,这是在条件平行趋势下实施识别策略的最常见方法。 We show that, even in the case with only two time periods, these TWFE regressions are not generally robust to (i) time-varying covariates being affected by the treatment, (ii) treatment effects and/or paths of untreated potential outcomes depending on the level of time-varying covariates in addition to only the change in the covariates over time, (iii) treatment effects and/or paths of untreated potential outcomes取决于时间不变的协变量,(IV)治疗效应异质性相对于观察到的协变量,以及(v)违反强大功能形式假设的行为,无论是随着时间的推移和倾向评分而言,在大多数情况下都不可能在大多数情况下进行应用。因此,TWFE回归可以在许多与经验相关的情况下提供因果效应参数的误导估计。我们提出了双重稳健的估计和回归调整/归纳策略,这些策略对这些问题具有牢固的效果,同时实施并没有更具挑战性。
This paper considers identification and estimation of causal effect parameters from participating in a binary treatment in a difference in differences (DID) setup when the parallel trends assumption holds after conditioning on observed covariates. Relative to existing work in the econometrics literature, we consider the case where the value of covariates can change over time and, potentially, where participating in the treatment can affect the covariates themselves. We propose new empirical strategies in both cases. We also consider two-way fixed effects (TWFE) regressions that include time-varying regressors, which is the most common way that DID identification strategies are implemented under conditional parallel trends. We show that, even in the case with only two time periods, these TWFE regressions are not generally robust to (i) time-varying covariates being affected by the treatment, (ii) treatment effects and/or paths of untreated potential outcomes depending on the level of time-varying covariates in addition to only the change in the covariates over time, (iii) treatment effects and/or paths of untreated potential outcomes depending on time-invariant covariates, (iv) treatment effect heterogeneity with respect to observed covariates, and (v) violations of strong functional form assumptions, both for outcomes over time and the propensity score, that are unlikely to be plausible in most DID applications. Thus, TWFE regressions can deliver misleading estimates of causal effect parameters in a number of empirically relevant cases. We propose both doubly robust estimands and regression adjustment/imputation strategies that are robust to these issues while not being substantially more challenging to implement.