On policy evaluation with aggregate time-series shocks

0525508 - NHÚ 2021 RIV CZ eng V - Výzkumná zpráva
Arkhangelsky, D. - Korovkin, Vasily
On policy evaluation with aggregate time-series shocks.
Prague: CERGE-EI, 2020. 54 s. CERGE-EI Working Paper Series, 657. ISSN 1211-3298
Grant CEP: GA ČR(CZ) GA19-25383S
Institucionální podpora: RVO:67985998
Klíčová slova: continuous difference in differences * panel data * causal effects
Obor OECD: Applied Economics, Econometrics
https://www.cerge-ei.cz/pdf/wp/Wp657.pdf

We propose a general strategy for estimating treatment effects, in contexts where the only source of exogenous variation is a sequence of aggregate time-series shocks. We start by arguing that commonly used estimation procedures tend to ignore the crucial time-series aspects of the data. Next, we develop a graphical tool and a novel test to illustrate the issues of the design using data from influential studies in development economics [Nunn and Qian, 2014] and macroeconomics [Nakamura and Steinsson, 2014]. Motivated by these studies, we construct a new estimator, which is based on the time-series model for the aggregate shock. We analyze the statistical properties of our estimator in the practically relevant case, where both cross-sectional and time-series dimensions are of similar size. Finally, to provide causal interpretation for our estimator, we analyze a new causal model that allows taking into account both rich unobserved heterogeneity in potential outcomes and unobserved aggregate shocks.
Trvalý link: http://hdl.handle.net/11104/0309623