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Improved two-period difference-in-differences by targeted estimation

Author

Listed:
  • Deng, Yuhao
  • Zhang, Tao
  • Peng, Xiang
  • Liu, Qinqing

Abstract

This paper proposes an estimator for the ATT in difference-in-differences using targeted minimum-loss-based estimation that adjusts the outcome regression model by including an additional covariate with a specific form. The estimator is easily implementable, semiparametrically efficient, and doubly robust.

Suggested Citation

  • Deng, Yuhao & Zhang, Tao & Peng, Xiang & Liu, Qinqing, 2025. "Improved two-period difference-in-differences by targeted estimation," Economics Letters, Elsevier, vol. 257(C).
    • Handle: RePEc:eee:ecolet:v:257:y:2025:i:c:s0165176525004379
    DOI: 10.1016/j.econlet.2025.112600
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    References listed on IDEAS

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    1. Clément de Chaisemartin & Xavier D’Haultfœuille, 2023. "Two-way fixed effects and differences-in-differences with heterogeneous treatment effects: a survey," The Econometrics Journal, Royal Economic Society, vol. 26(3), pages 1-30.
    2. Alberto Abadie, 2005. "Semiparametric Difference-in-Differences Estimators," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(1), pages 1-19.
    3. Imai, Kosuke & Kim, In Song, 2021. "On the Use of Two-Way Fixed Effects Regression Models for Causal Inference with Panel Data," Political Analysis, Cambridge University Press, vol. 29(3), pages 405-415, July.
    4. Porter Kristin E. & Gruber Susan & van der Laan Mark J. & Sekhon Jasjeet S., 2011. "The Relative Performance of Targeted Maximum Likelihood Estimators," The International Journal of Biostatistics, De Gruyter, vol. 7(1), pages 1-34, August.
    5. van der Laan Mark J. & Rubin Daniel, 2006. "Targeted Maximum Likelihood Learning," The International Journal of Biostatistics, De Gruyter, vol. 2(1), pages 1-40, December.
    6. Sant’Anna, Pedro H.C. & Zhao, Jun, 2020. "Doubly robust difference-in-differences estimators," Journal of Econometrics, Elsevier, vol. 219(1), pages 101-122.
    7. Susan Athey & Guido W. Imbens, 2006. "Identification and Inference in Nonlinear Difference-in-Differences Models," Econometrica, Econometric Society, vol. 74(2), pages 431-497, March.
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    Citations

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    Cited by:

    1. Yuhao Deng & Le Kang, 2026. "Doubly Robust Estimation of Treatment Effects in Staggered Difference-in-Differences with Time-Varying Covariates," Papers 2603.04080, arXiv.org.
    2. Jonas Skjold Raaschou-Pedersen, 2026. "Doubly Robust Instrumented Difference-in-Differences," Papers 2605.03699, arXiv.org.

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    Keywords

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    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
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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