American Economic Review Vol. 110 No. 9 2020

Two-Way Fixed Effects Estimators with Heterogeneous Treatment Effects

Clément de Chaisemartin¹; Xavier D'Haultfœuille²

¹ University of California at Santa Barbara (email: ) · ² CREST-ENSAE (email: )

Abstract

Linear regressions with period and group fixed effects are widely used to estimate treatment effects. We show that they estimate weighted sums of the average treatment effects (ATE ) in each group and period, with weights that may be negative. Due to the negative weights, the linear regression coefficient may for instance be negative while all the ATEs are positive. We propose another estimator that solves this issue. In the two applications we revisit, it is significantly different from the linear regression estimator.

DOI

10.1257/aer.20181169

Volume

110

Issue

9

Pages

2964-2996

Language

en

Sources

bibtex:phds-export.bib openalex crossref

Cite

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