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The chained difference-in-differences

Author

Listed:
  • Bellégo, Christophe
  • Benatia, David
  • Dortet-Bernadet, Vincent

Abstract

This paper studies the identification, estimation, and inference of long-term (binary) treatment effect parameters when balanced panel data is not available, or consists of only a subset of the available data. We develop a new estimator: the chained difference-in-differences, which leverages the overlapping structure of many unbalanced panel data sets. This approach consists in aggregating a collection of short-term treatment effects estimated on multiple incomplete panels. Our estimator accommodates (1) multiple time periods, (2) variation in treatment timing, (3) treatment effect heterogeneity, (4) general missing data patterns, and (5) sample selection on observables. We establish the asymptotic properties of the proposed estimator and discuss identification and efficiency gains in comparison to existing methods. Finally, we illustrate its relevance through (i) numerical simulations, and (ii) an application about the effects of an innovation policy in France.

Suggested Citation

  • Bellégo, Christophe & Benatia, David & Dortet-Bernadet, Vincent, 2025. "The chained difference-in-differences," Journal of Econometrics, Elsevier, vol. 248(C).
    • Handle: RePEc:eee:econom:v:248:y:2025:i:c:s0304407624001295
    DOI: 10.1016/j.jeconom.2024.105783
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    More about this item

    Keywords

    Event study; Unbalanced panel; Attrition; Treatment effect heterogeneity; GMM;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • O3 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights
    • J38 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Public Policy

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