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INFERENCE IN DIFFERENCES-IN-DIFFERENCES WITH FEW TREATED GROUPS AND HETEROSKEDASTICITY
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Journal Article
INFERENCE IN DIFFERENCES-IN-DIFFERENCES WITH FEW TREATED GROUPS AND HETEROSKEDASTICITY
2019
Overview
We derive an inference method that works in differences-indifferences settings with few treated and many control groups in the presence of heteroskedasticity. As a leading example, we provide theoretical justification and empirical evidence that heteroskedasticity generated by variation in group sizes can invalidate existing inference methods, even in data sets with a large number of observations per group. In contrast, our inference method remains valid in this case. Our test can also be combined with feasible generalized least squares, providing a safeguard against misspecification of the serial correlation.
Publisher
MIT Press,MIT Press Journals, The
Subject
