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Visualization, Identification, and Estimation in the Linear Panel Event Study Design

Author

Listed:
  • Freyaldenhoven Simon
  • Hansen Christian
  • Pérez Pérez Jorge
  • Shapiro Jesse M.

Abstract

Linear panel models, and the "event-study plots" that often accompany them, are popular tools for learning about policy effects. We discuss the construction of event-study plots and suggest ways to make them more informative. We examine the economic content of different possible identifying assumptions. We explore the performance of the corresponding estimators in simulations, highlighting that a given estimator can perform well or poorly depending on the economic environment. An accompanying Stata package, xtevent, facilitates adoption of our suggestions.

Suggested Citation

  • Freyaldenhoven Simon & Hansen Christian & Pérez Pérez Jorge & Shapiro Jesse M., 2022. "Visualization, Identification, and Estimation in the Linear Panel Event Study Design," Working Papers 2022-07, Banco de México.
    • Handle: RePEc:bdm:wpaper:2022-07
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    References listed on IDEAS

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    More about this item

    Keywords

    Linear Panel Data Models; Difference-in-Differences; Staggered Adoption; Pre-Trends; Event Study;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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