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Econometrics strikes back: GMM and two-way fixed effects

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  • Enrique Pinzón

    (StataCorp)

Abstract

Two-way fixed effects is not a broken methodology. As Wooldridge (2021) shows, the estimator can be used to obtain heterogeneous treatment effects. I illustrate how to obtain these treatment effects using GMM. Additionally, I show how some other proposed estimators for heterogeneous treatment effects can be fit using GMM.

Suggested Citation

  • Enrique Pinzón, 2022. "Econometrics strikes back: GMM and two-way fixed effects," French Stata Users' Group Meetings 2022 12, Stata Users Group.
    • Handle: RePEc:boc:fsug22:12
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    File URL: http://repec.org/frsug2022/France22_Pinzon.pdf
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