IDEAS home Printed from https://ideas.repec.org/a/eee/ecolet/v216y2022ics0165176522001392.html
   My bibliography  Save this article

Empirical likelihood confidence interval for difference-in-differences estimator with panel data

Author

Listed:
  • Tang, Shengfang
  • Huang, Zhilin

Abstract

This paper develops an empirical likelihood approach to construct the confidence interval for the average treatment effect on the treated under the difference-in-differences framework. The empirical likelihood function is constructed based on a doubly robust moment function of the parameter of interest. Under some regularity conditions, we show that the proposed method retains the nonparametric Wilks property of empirical likelihood.

Suggested Citation

  • Tang, Shengfang & Huang, Zhilin, 2022. "Empirical likelihood confidence interval for difference-in-differences estimator with panel data," Economics Letters, Elsevier, vol. 216(C).
    • Handle: RePEc:eee:ecolet:v:216:y:2022:i:c:s0165176522001392
    DOI: 10.1016/j.econlet.2022.110524
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165176522001392
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.econlet.2022.110524?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins, 2018. "Double/debiased machine learning for treatment and structural parameters," Econometrics Journal, Royal Economic Society, vol. 21(1), pages 1-68, February.
    2. James J. Heckman & Hidehiko Ichimura & Petra E. Todd, 1997. "Matching As An Econometric Evaluation Estimator: Evidence from Evaluating a Job Training Programme," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 64(4), pages 605-654.
    3. Bravo, Francesco & Juan Carlos, Escanciano & Ingrid Van Keilegom, Ingrid, 2020. "Two-Step Semiparametric Empirical Likelihood Inference," LIDAM Reprints ISBA 2020046, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    4. Racine, Jeff & Li, Qi, 2004. "Nonparametric estimation of regression functions with both categorical and continuous data," Journal of Econometrics, Elsevier, vol. 119(1), pages 99-130, March.
    5. Sant’Anna, Pedro H.C. & Zhao, Jun, 2020. "Doubly robust difference-in-differences estimators," Journal of Econometrics, Elsevier, vol. 219(1), pages 101-122.
    6. Jing Qin & And Biao Zhang, 2008. "Empirical‐likelihood‐based difference‐in‐differences estimators," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(2), pages 329-349, April.
    7. Li, Qi & Racine, Jeffrey S. & Wooldridge, Jeffrey M., 2009. "Efficient Estimation of Average Treatment Effects with Mixed Categorical and Continuous Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 206-223.
    8. Alberto Abadie, 2005. "Semiparametric Difference-in-Differences Estimators," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(1), pages 1-19.
    9. Neng-Chieh Chang, 2020. "Double/debiased machine learning for difference-in-differences models," The Econometrics Journal, Royal Economic Society, vol. 23(2), pages 177-191.
    10. James Heckman & Hidehiko Ichimura & Jeffrey Smith & Petra Todd, 1998. "Characterizing Selection Bias Using Experimental Data," Econometrica, Econometric Society, vol. 66(5), pages 1017-1098, September.
    11. Rothe, Christoph & Firpo, Sergio, 2019. "Properties Of Doubly Robust Estimators When Nuisance Functions Are Estimated Nonparametrically," Econometric Theory, Cambridge University Press, vol. 35(5), pages 1048-1087, October.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Roth, Jonathan & Sant’Anna, Pedro H.C. & Bilinski, Alyssa & Poe, John, 2023. "What’s trending in difference-in-differences? A synthesis of the recent econometrics literature," Journal of Econometrics, Elsevier, vol. 235(2), pages 2218-2244.
    2. Callaway, Brantly & Sant’Anna, Pedro H.C., 2021. "Difference-in-Differences with multiple time periods," Journal of Econometrics, Elsevier, vol. 225(2), pages 200-230.
    3. Sant’Anna, Pedro H.C. & Zhao, Jun, 2020. "Doubly robust difference-in-differences estimators," Journal of Econometrics, Elsevier, vol. 219(1), pages 101-122.
    4. Guido W. Imbens & Jeffrey M. Wooldridge, 2009. "Recent Developments in the Econometrics of Program Evaluation," Journal of Economic Literature, American Economic Association, vol. 47(1), pages 5-86, March.
    5. Sun, Liyang & Abraham, Sarah, 2021. "Estimating dynamic treatment effects in event studies with heterogeneous treatment effects," Journal of Econometrics, Elsevier, vol. 225(2), pages 175-199.
    6. Kazuki Kamimura & Shohei Okamoto & Kenichi Shiraishi & Kazuto Sumita & Kohei Komamura & Akiko Tsukao & Shinya Kuno, 2023. "Financial incentives for exercise and medical care costs," International Journal of Economic Policy Studies, Springer, vol. 17(1), pages 95-116, February.
    7. Gregory Faletto, 2023. "Fused Extended Two-Way Fixed Effects for Difference-in-Differences with Staggered Adoptions," Papers 2312.05985, arXiv.org.
    8. Taisuke Otsu & Mengshan Xu, 2022. "Isotonic propensity score matching," STICERD - Econometrics Paper Series 623, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    9. Mengshan Xu & Taisuke Otsu, 2022. "Isotonic propensity score matching," Papers 2207.08868, arXiv.org.
    10. Hampton, Matt & McNamara, Scott, 2022. "The impact of educational rewards on the diagnosis of autism spectrum disorder," Economics & Human Biology, Elsevier, vol. 47(C).
    11. Frölich, Markus & Michaelowa, Katharina, 2004. "Peer effects and textbooks in primary education: Evidence from francophone sub-Saharan Africa," HWWA Discussion Papers 311, Hamburg Institute of International Economics (HWWA).
    12. Volpe Martincus, Christian & Carballo, Jerónimo, 2010. "Beyond the average effects: The distributional impacts of export promotion programs in developing countries," Journal of Development Economics, Elsevier, vol. 92(2), pages 201-214, July.
    13. Mark Kattenberg & Bas Scheer & Jurre Thiel, 2023. "Causal forests with fixed effects for treatment effect heterogeneity in difference-in-differences," CPB Discussion Paper 452, CPB Netherlands Bureau for Economic Policy Analysis.
    14. Timothy Tyler Brown & Juan Pablo Atal, 2019. "How robust are reference pricing studies on outpatient medical procedures? Three different preprocessing techniques applied to difference‐in differences," Health Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 280-298, February.
    15. James Heckman & Salvador Navarro-Lozano, 2004. "Using Matching, Instrumental Variables, and Control Functions to Estimate Economic Choice Models," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 30-57, February.
    16. Chad D. Meyerhoefer & Muzhe Yang, 2011. "The Relationship between Food Assistance and Health: A Review of the Literature and Empirical Strategies for Identifying Program Effects," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 33(3), pages 304-344.
    17. Pandej Chintrakarn, 2008. "Estimating the Euro Effects on Trade with Propensity Score Matching," Review of International Economics, Wiley Blackwell, vol. 16(1), pages 186-198, February.
    18. Frölich, Markus & Huber, Martin & Wiesenfarth, Manuel, 2017. "The finite sample performance of semi- and non-parametric estimators for treatment effects and policy evaluation," Computational Statistics & Data Analysis, Elsevier, vol. 115(C), pages 91-102.
    19. Jan Stede, 2019. "Do Energy Efficiency Networks Save Energy? Evidence from German Plant-Level Data," Discussion Papers of DIW Berlin 1813, DIW Berlin, German Institute for Economic Research.
    20. Yang Ning & Sida Peng & Jing Tao, 2020. "Doubly Robust Semiparametric Difference-in-Differences Estimators with High-Dimensional Data," Papers 2009.03151, arXiv.org.

    More about this item

    Keywords

    Empirical likelihood; Confidence interval; Difference-in-differences; Average treatment effect on the treated;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:216:y:2022:i:c:s0165176522001392. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.