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

Author

Listed:
  • 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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    Cited by:

    1. Hoyos, Mateo, 2024. "Tariffs and Growth: Heterogeneity by Economic Structure," SocArXiv v75aw, Center for Open Science.

    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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