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Difference-in-Difference Estimators with Continuous Treatments and No Stayers

Author

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  • Clément de Chaisemartin
  • Xavier D'Haultfœuille
  • Gonzalo Vazquez-Bare

Abstract

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 the linearity of treatment effects. We develop a difference-in-difference strategy for continuous treatments without imposing such restrictions when there are no stayers: 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.

Suggested Citation

  • Clément de Chaisemartin & Xavier D'Haultfœuille & Gonzalo Vazquez-Bare, 2024. "Difference-in-Difference Estimators with Continuous Treatments and No Stayers," AEA Papers and Proceedings, American Economic Association, vol. 114, pages 610-613, May.
    • Handle: RePEc:aea:apandp:v:114:y:2024:p:610-13
    DOI: 10.1257/pandp.20241049
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    1. Kong, Efang & Linton, Oliver & Xia, Yingcun, 2010. "Uniform Bahadur Representation For Local Polynomial Estimates Of M-Regression And Its Application To The Additive Model," Econometric Theory, Cambridge University Press, vol. 26(5), pages 1529-1564, October.
    2. Olivier Deschênes & Michael Greenstone, 2012. "The Economic Impacts of Climate Change: Evidence from Agricultural Output and Random Fluctuations in Weather: Reply," American Economic Review, American Economic Association, vol. 102(7), pages 3761-3773, December.
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    Cited by:

    1. Mateo Hoyos, 2024. "Tariffs and Growth: Heterogeneity by Economic Structure," Working Papers DTE 638, CIDE, División de Economía.
    2. Carranza, Rafael & Prieto, Joaquín & Sehnbruch, Kirsten, 2025. "Job loss and earnings inequality: distributional effects of formal re-employment in Chile," LSE Research Online Documents on Economics 127462, London School of Economics and Political Science, LSE Library.
    3. repec:osf:socarx:v75aw_v1 is not listed on IDEAS

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    More about this item

    JEL classification:

    • 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
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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