arXiv 26 May 2024 · Econometrics · 1 citations (OpenAlex)
arXiv:2405.16467 · PDF · DOI · OpenAlex · Extracted main text
Many studies run two-way fixed effects instrumental variable (TWFEIV) regressions, leveraging variation in the timing of policy adoption across units as an instrument for treatment. This paper studies the properties of the TWFEIV estimator in staggered instrumented difference-in-differences (DID-IV) designs. We show that in settings with the staggered adoption of the instrument across units, the TWFEIV estimator can be decomposed into a weighted average of all possible two-group/two-period Wald-DID estimators. Under staggered DID-IV designs, a causal interpretation of the TWFEIV estimand hinges on the stable effects of the instrument on the treatment and the outcome over time. We illustrate the use of our decomposition theorem for the TWFEIV estimator through an empirical application.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Miller and Segal (2019) Do female officers improve law enforcement quality? Effects on crime reporting and domestic violence | 1.000 | 39 | 4 | 100% |
| 2 | Miyaji (2024) Instrumented Difference-in-Differences with heterogeneous treatment effects self | 1.000 | 14 | 4 | 100% |
| 3 | de Chaisemartin and D'Haultfuille (2020) Two-Way Fixed Effects Estimators with Heterogeneous Treatment Effects | 1.000 | 8 | 5 | 100% |
| 4 | Sun and Abraham (2021) Estimating dynamic treatment effects in event studies with heterogeneous treatment effects | 1.000 | 7 | 5 | 100% |
| 5 | Callaway and Sant'Anna (2021) Difference-in-Differences with multiple time periods | 1.000 | 5 | 4 | 100% |
| 6 | Goodman-Bacon (2021) Difference-in-differences with variation in treatment timing | 0.935 | 22 | 6 | 82% |
| 7 | Imbens and Angrist (1994) Identification and Estimation of Local Average Treatment Effects | 0.928 | 4 | 3 | 100% |
| 8 | Athey and Imbens (2022) Design-based analysis in Difference-In-Differences settings with staggered adoption | 0.843 | 3 | 3 | 100% |
| 9 | Imai and Kim (2021) On the Use of Two-Way Fixed Effects Regression Models for Causal Inference with Panel Data | 0.843 | 3 | 3 | 100% |
| 10 | de Chaisemartin and D'Haultfuille (2018) Fuzzy Differences-in-Differences | 0.811 | 4 | 2 | 100% |
Showing the top 10 of 30 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Instrumented Difference-in-Differences with Heterogeneous Treatment Effects | 0.941 | 6 | 4 |
| 2 | Triple Instrumented Difference-in-Differences | 0.405 | 1 | 1 |