Doubly robust difference-in-differences estimators

doi:10.1016/j.jeconom.2020.06.003

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Doubly robust difference-in-differences estimators

2020-11-01

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Pedro H. C. Sant’Anna *

Jun B. Zhao

DOI：10.1016/j.jeconom.2020.06.003

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Abstract

En 中文

This article proposes doubly robust estimators for the average treatment effect on the treated (ATT) in difference-in-differences (DID) research designs. In contrast to alternative DID estimators, the proposed estimators are consistent if either (but not necessarily both) a propensity score or outcome regression working models are correctly specified. We also derive the semiparametric efficiency bound for the KIT in DID designs when either panel or repeated cross-section data are available, and show that our proposed estimators attain the semiparametric efficiency bound when the working models are correctly specified. Furthermore, we quantify the potential efficiency gains of having access to panel data instead of repeated cross-section data. Finally, by paying particular attention to the estimation method used to estimate the nuisance parameters, we show that one can sometimes construct doubly robust DID estimators for the ATT that are also doubly robust for inference. Simulation studies and an empirical application illustrate the desirable finite-sample performance of the proposed estimators. Open-source software for implementing the proposed policy evaluation tools is available. (C) 2020 Elsevier B.V. All rights reserved.

Keywords:

Causal inference

Difference-in-differences

Natural experiments

Panel data

Repeated cross-section data

Semiparametric efficiency

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