The Review of Economics and Statistics Vol. 89 No. 2 2007
Inference with Difference-in-Differences and Other Panel Data
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.
- DOI
- 10.1162/rest.89.2.221
- Volume
- 89
- Issue
- 2
- Pages
- 221-233
- Language
- en
- Sources
- openalex crossref