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A Complete Framework for Model-Free Difference-in-Differences Estimation

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  • Daniel J. Henderson
  • Stefan Sperlich

Abstract

We propose a complete framework for data-driven difference-in-differences analysis with covariates, in particular nonparametric estimation and testing. We start with simultaneously choosing confounders and a scale of the outcome along identification conditions. We estimate first heterogeneous treatment effects stratified along the covariates, then the average effect(s) for the treated. We provide the asymptotic and finite sample behavior of our estimators and tests, bootstrap procedures for their standard errors and p-values, and an automatic bandwidth choice. The pertinence of our methods is shown with a study of the impact of the Deferred Action for Childhood Arrivals program on educational outcomes for non-citizen immigrants in the US.

Suggested Citation

  • Daniel J. Henderson & Stefan Sperlich, 2023. "A Complete Framework for Model-Free Difference-in-Differences Estimation," Foundations and Trends(R) in Econometrics, now publishers, vol. 12(3), pages 232-323, October.
    • Handle: RePEc:now:fnteco:0800000046
    DOI: 10.1561/0800000046
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    References listed on IDEAS

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    1. Chi-Yang Chu & Daniel J. Henderson & Christopher F. Parmeter, 2015. "Plug-in Bandwidth Selection for Kernel Density Estimation with Discrete Data," Econometrics, MDPI, vol. 3(2), pages 1-16, March.
    2. Davidson, Russell & Flachaire, Emmanuel, 2008. "The wild bootstrap, tamed at last," Journal of Econometrics, Elsevier, vol. 146(1), pages 162-169, September.
    3. Hayfield, Tristen & Racine, Jeffrey S., 2008. "Nonparametric Econometrics: The np Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 27(i05).
    4. Alberto Abadie & Guido W. Imbens, 2008. "On the Failure of the Bootstrap for Matching Estimators," Econometrica, Econometric Society, vol. 76(6), pages 1537-1557, November.
    5. Stefan Sperlich, 2014. "On the choice of regularization parameters in specification testing: a critical discussion," Empirical Economics, Springer, vol. 47(2), pages 427-450, September.
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    Cited by:

    1. Tran, Nhan, 2023. "The effects of deferred action for childhood arrivals on labor market outcomes," MPRA Paper 118496, University Library of Munich, Germany.

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    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • A2 - General Economics and Teaching - - Economic Education and Teaching of Economics

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