An Optimal Bandwidth For Difference-in-Difference Estimation with a Continuous Treatment and an Heterogeneous Adoption Design
Résumé
We propose a difference-in-difference estimator with a continuous treatment. We consider an heterogeneous adoption design where no unit is treated at period one, all units receive a strictly positive treatment dose at period two, and there are units with a treatment dose close to zero at period two. Our estimator uses "quasi-stayers", namely units with a period-two treatment below a bandwidth, as a control group to infer the counterfactual outcome evolution without treatment. We propose an optimal bandwidth that minimizes an asymptotic approximation of the estimator's mean-squared-error.
Domaines
Economies et finances
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2022_dechaisemartin_dhaultfoeuille_an_optimal_bandwidth_for_difference_in_difference_estimation_with_a_continuous_treatment_and_an_heterogeneous_adoption_design.pdf (212.17 Ko)
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