- Published
- 2022-02-22
- Venue
- Journal of Financial Economics, vol. 144, no. 2, pp. 370-395
- Cited by
- 3,122
- Open access
- Yes, hybrid
- DOI
- 10.1016/j.jfineco.2022.01.004
Abstract
We explain when and how staggered difference-in-differences regression estimators, commonly applied to assess the impact of policy changes, are biased. These biases are likely to be relevant for a large portion of research settings in finance, accounting, and law that rely on staggered treatment timing, and can result in Type-I and Type-II errors. We summarize three alternative estimators developed in the econometrics and applied literature for addressing these biases, including their differences and tradeoffs. We apply these estimators to re-examine prior published results and show, in many cases, the alternative causal estimates or inferences differ substantially from prior papers.
Cite this paper
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- APA 7
Baker, A. C., Larcker, D. F., & Wang, C. C. Y. (2022). How much should we trust staggered difference-in-differences estimates? Journal of Financial Economics, 144(2), 370–395. https://doi.org/10.1016/j.jfineco.2022.01.004
- MLA 9
Baker, Andrew C., et al. "How much should we trust staggered difference-in-differences estimates?" Journal of Financial Economics, vol. 144, no. 2, 2022, pp. 370–395, https://doi.org/10.1016/j.jfineco.2022.01.004.
- Chicago
Baker, Andrew C., David F. Larcker, and Charles C. Y. Wang. "How much should we trust staggered difference-in-differences estimates?" Journal of Financial Economics 144, no. 2 (2022): 370–395. https://doi.org/10.1016/j.jfineco.2022.01.004.
- GOST
Baker A. C., Larcker D. F., Wang C. C. Y. How much should we trust staggered difference-in-differences estimates? // Journal of Financial Economics. — 2022. — Vol. 144, № 2. — P. 370–395. — URL: https://doi.org/10.1016/j.jfineco.2022.01.004
- BibTeX
@article{baker2022much, title = {{How much should we trust staggered difference-in-differences estimates?}}, author = {Andrew C. Baker and David F. Larcker and Charles C. Y. Wang}, journal = {Journal of Financial Economics}, year = {2022}, volume = {144}, number = {2}, pages = {370--395}, doi = {10.1016/j.jfineco.2022.01.004}, url = {https://doi.org/10.1016/j.jfineco.2022.01.004} }- RIS
TY - JOUR AU - Baker, Andrew C. AU - Larcker, David F. AU - Wang, Charles C. Y. TI - How much should we trust staggered difference-in-differences estimates? JO - Journal of Financial Economics VL - 144 IS - 2 SP - 370 EP - 395 PY - 2022 DA - 2022/02/22 DO - 10.1016/j.jfineco.2022.01.004 UR - https://doi.org/10.1016/j.jfineco.2022.01.004 ER -