Inference with Difference-in-Differences and Other Panel Data
Top Cited Papers
- 1 May 2007
- journal article
- research article
- Published by MIT Press in The Review of Economics and Statistics
- Vol. 89 (2) , 221-233
- https://doi.org/10.1162/rest.89.2.221
Abstract
We examine inference in panel data when the number of groups is small, as is typically the case for difference-in-differences estimation and when some variables are fixed within groups. In this case, standard asymptotics based on the number of groups going to infinity provide a poor approximation to the finite sample distribution. We show that in some cases the t-statistic is distributed as t and propose simple two-step estimators for these cases. We apply our analysis to two well-known papers. We confirm our theoretical analysis with Monte Carlo simulations.This publication has 6 references indexed in Scilit:
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