The PCDID Approach: Difference-in-Differences When Trends Are Potentially Unparallel and Stochastic

A-Tier
Journal: Journal of Business & Economic Statistics
Year: 2022
Volume: 40
Issue: 3
Pages: 1216-1233

Authors (2)

Marc K. Chan (not in RePEc) Simon S. Kwok (University of Sydney)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We develop a class of regression-based estimators, called Principal Components Difference-in-Differences (PCDID) estimators, for treatment effect estimation. Analogous to a control function approach, PCDID uses factor proxies constructed from control units to control for unobserved trends, assuming that the unobservables follow an interactive effects structure. We clarify the conditions under which the estimands in this regression-based approach represent useful causal parameters of interest. We establish consistency and asymptotic normality results of PCDID estimators under minimal assumptions on the specification of time trends. The PCDID approach is illustrated in an empirical exercise that examines the effects of welfare waiver programs on welfare caseloads in the United States.

Technical Details

RePEc Handle
repec:taf:jnlbes:v:40:y:2022:i:3:p:1216-1233
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25