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On Event Studies and Distributed-Lags in Two-Way Fixed Effects Models: Identification, Equivalence, and Generalization

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  • Schmidheiny, Kurt
  • Siegloch, Sebastian

Abstract

We discuss important properties and pitfalls of panel-data event study designs. We derive three main results. First, binning of effect window endpoints is a practical necessity and key for identification of dynamic treatment effects. Second, event study designs with binned endpoints and distributed-lag models are numerically identical leading to the same parameter estimates after correct reparametrization. Third, classic dummy variable event study designs can be generalized to models that account for multiple events of different sign and intensity of the treatment, which are particularly interesting for research in labor economics and public finance. We show the practical relevance of our methodological points in a replication study.

Suggested Citation

  • Schmidheiny, Kurt & Siegloch, Sebastian, 2019. "On Event Studies and Distributed-Lags in Two-Way Fixed Effects Models: Identification, Equivalence, and Generalization," CEPR Discussion Papers 13477, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:13477
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    More about this item

    Keywords

    Event study; Distributed-lag; Applied microeconomics; Credibility revolution;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • H00 - Public Economics - - General - - - General
    • J08 - Labor and Demographic Economics - - General - - - Labor Economics Policies

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