谨慎预测:平行趋势测试后的事件研究估计

IF 8.1 1区经济学 Q1 ECONOMICS

American Economic Review-Insights Pub Date : 2022-09-01 DOI:10.1257/aeri.20210236

J. Roth

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引用次数: 212

摘要

本文讨论了在使用差异中的差异和相关方法时，测试预先存在的趋势差异(“前趋势”)的常见实践的两个重要限制。首先，传统的趋势前测试可能功耗低。其次，对预测试结果的分析可能会扭曲估计和推断，潜在地加剧点估计的偏差和置信区间的覆盖不足。我从理论和模拟两方面分析了这些问题，并对最近发表在主要经济学期刊上的论文进行了调查，结果表明，这些限制在实践中很重要。最后，我提出了减轻这些问题的实用建议。(jel a14, c23, c51)

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Pretest with Caution: Event-Study Estimates after Testing for Parallel Trends

This paper discusses two important limitations of the common practice of testing for preexisting differences in trends (“ pre-trends”) when using difference-in-differences and related methods. First, conventional pre-trends tests may have low power. Second, conditioning the analysis on the result of a pretest can distort estimation and inference, potentially exacerbating the bias of point estimates and under-coverage of confidence intervals. I analyze these issues both in theory and in simulations calibrated to a survey of recent papers in leading economics journals, which suggest that these limitations are important in practice. I conclude with practical recommendations for mitigating these issues. (JEL A14, C23, C51)

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来源期刊

American Economic Review-Insights ECONOMICS-

自引率

0.00%

发文量

期刊介绍： The journal American Economic Review: Insights (AER: Insights) is a publication that caters to a wide audience interested in economics. It shares the same standards of quality and significance as the American Economic Review (AER) but focuses specifically on papers that offer important insights communicated concisely. AER: Insights releases four issues annually, covering a diverse range of topics in economics.