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An Introductory Guide to Event Study Models

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  • Douglas L. Miller

Abstract

The event study model is a powerful econometric tool used for the purpose of estimating dynamic treatment effects. One of its most appealing features is that it provides a built-in graphical summary of results, which can reveal rich patterns of behavior. Another value of the picture is the estimated pre-event pseudo-"effects", which provide a type of placebo test. In this essay I aim to provide a framework for a shared understanding of these models. There are several (sometimes subtle) decisions and choices faced by users of these models, and I offer guidance for these decisions.

Suggested Citation

  • Douglas L. Miller, 2023. "An Introductory Guide to Event Study Models," Journal of Economic Perspectives, American Economic Association, vol. 37(2), pages 203-230, Spring.
    • Handle: RePEc:aea:jecper:v:37:y:2023:i:2:p:203-30
    DOI: 10.1257/jep.37.2.203
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    Cited by:

    1. Grunau, Philipp & Hoffmann, Florian & Lemieux, Thomas & Titze, Mirko, 2024. "Who benefits from place-based policies? Evidence from matched employer-employee data," IWH Discussion Papers 11/2024, Halle Institute for Economic Research (IWH).
    2. Rachel A. Neugarten & Ranaivo A. Rasolofoson & Christopher B. Barrett & Ghislain Vieilledent & Amanda D. Rodewald, 2024. "The effect of a political crisis on performance of community forests and protected areas in Madagascar," Nature Communications, Nature, vol. 15(1), pages 1-13, December.
    3. Huang, Junhua & Valizadeh, Pourya & Bryant, Henry L. & Priestley, Samuel L., 2024. "How Did the Expiration of Emergency Allotments Affect Fruit and Vegetable Purchases of SNAP Households?," 2024 Annual Meeting, July 28-30, New Orleans, LA 343637, Agricultural and Applied Economics Association.
    4. Li, Hui & Wu, Dongdong, 2024. "Online investor attention and firm restructuring performance: Insights from an event-based DEA-Tobit model," Omega, Elsevier, vol. 122(C).
    5. Robert Kaestner, 2023. "A Critique of " The Birth of a Nation : Media and Racial Hate"," Econ Journal Watch, Econ Journal Watch, vol. 20(2), pages 214–233-2, September.
    6. Dottori, Davide, 2024. "The effect of the earthquake in Central Italy on the depopulation of the affected territories," Regional Science and Urban Economics, Elsevier, vol. 105(C).
    7. Campos, Nicolás & Chalup, Miguel & Mitnik, Oscar A. & Urquidi, Manuel, 2024. "The Impact of Labor Intermediation and Training in High Informality Contexts. Evidence from Paraguay," IZA Discussion Papers 17254, Institute of Labor Economics (IZA).
    8. Justin Contat & William M. Doerner & Robert N. Renner & Malcolm J. Rogers, 2024. "Measuring Price Effects from Disasters using Public Data: A Case Study of Hurricane Ian," FHFA Staff Working Papers 24-04, Federal Housing Finance Agency.
    9. Julia Mink, 2024. "Broken Homes and Empty Pantries: The Impact of Couple Separation on Living Standards in France," ECONtribute Discussion Papers Series 305, University of Bonn and University of Cologne, Germany.
    10. Omar Isaac Asensio & Olga Churkina & Becky D. Rafter & Kira E. O’Hare, 2024. "Housing policies and energy efficiency spillovers in low and moderate income communities," Nature Sustainability, Nature, vol. 7(5), pages 590-601, May.
    11. Neugebauer, Frederik & Russnak, Jan & Zimmermann, Lilli & Camarero Garcia, Sebastian, 2024. "Effects of the ECB’s communication on government bond spreads," Journal of International Money and Finance, Elsevier, vol. 142(C).
    12. Laura Argys & Thomas Mroz & M. Melinda Pitts, 2023. "Modeling Event Studies with Heterogeneous Treatment Effects," FRB Atlanta Working Paper 2023-11, Federal Reserve Bank of Atlanta.
    13. Matthieu Bunel & Dominique Meurs & Élisabeth Tovar, 2024. "Moving apart: job-driven residential mobility and the gender pay gap Evidence from a large industrial firm," EconomiX Working Papers 2024-6, University of Paris Nanterre, EconomiX.
    14. Takahashi, Ryo & Igei, Kengo & Tsugawa, Yusuke & Nakamuro, Makiko, 2024. "The effect of silent eating during school lunchtime on COVID-19 outbreaks," Social Science & Medicine, Elsevier, vol. 348(C).
    15. Hirvonen, Kalle & Machado, Elia Axinia & Simons, Andrew M., 2024. "Do social protection programs reduce conflict risk? Evidence from a large-scale safety net program in rural Ethiopia," 2024 Annual Meeting, July 28-30, New Orleans, LA 343590, Agricultural and Applied Economics Association.
    16. Hudde, Ansgar & Jacob, Marita, 2022. "There’s More in the Data! Using Month-Specific Information to Estimate Changes Before and After Major Life Events," SocArXiv vueas, Center for Open Science.
    17. Huang, Junhua & Valizadeh, Pourya & Bryant, Henry & Priestley, Samuel, 2024. "How Did the Expiration of SNAP Emergency Allotments Affect Fresh Fruit and Vegetable Purchases of SNAP Households?," 2024 Annual Meeting, July 28-30, New Orleans, LA 344186, Agricultural and Applied Economics Association.
    18. Rachel Avram & Eric J. Koepcke & Alaa Moussawi & Melissa Nu~nez, 2024. "Do Cure Violence Programs Reduce Gun Violence? Evidence from New York City," Papers 2406.02459, arXiv.org.
    19. Hao, Ying & Zhao, Min & Wei, Zi, 2024. "Can military executives overcome difficulties in corporate value creation? ——Evidence from China," China Economic Review, Elsevier, vol. 84(C).
    20. Li, Jia, 2024. "Less stunted? The impact of Chinese health aid on child nutrition," Social Science & Medicine, Elsevier, vol. 342(C).
    21. Julia Mink, 2023. "Broken Homes and Empty Pantries: French Households Suffer Substantial Loss of Standard Living, Reduce Food Consumption and Lose Weight Following Separation," CRC TR 224 Discussion Paper Series crctr224_2023_469, University of Bonn and University of Mannheim, Germany.
    22. Rodríguez-Puello, Gabriel & Rickardsson, Jonna, 2024. "Spatial Diffusion of Economic Shocks in the Labor Market: Evidence from a Mining Boom and Bust," OSF Preprints tzmf2, Center for Open Science.

    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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