Papers › Revisiting Event Study Designs: Robust and Efficient Estimation
Revisiting Event Study Designs: Robust and Efficient Estimation
Kirill Borusyak, Xavier Jaravel, Jann Spiess
We develop a framework for difference-in-differences designs with staggered treatment adoption and heterogeneous causal effects. We show that conventional regression-based estimators fail to provide unbiased estimates of relevant estimands absent strong restrictions on treatment-effect homogeneity. We then derive the efficient estimator addressing this challenge, which takes an intuitive "imputation" form when treatment-effect heterogeneity is unrestricted. We characterize the asymptotic behavior of the estimator, propose tools for inference, and develop tests for identifying assumptions. Our method applies with time-varying controls, in triple-difference designs, and with certain non-binary treatments. We show the practical relevance of our results in a simulation study and an application. Studying the consumption response to tax rebates in the United States, we find that the notional marginal propensity to consume is between 8 and 11 percent in the first quarter - about half as large as benchmark estimates used to calibrate macroeconomic models - and predominantly occurs in the first month after the rebate.
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