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On policy evaluation with aggregate time-series shocks

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    SYSNO ASEP0525509
    Document TypeV - Research Report
    R&D Document TypeThe record was not marked in the RIV
    TitleOn policy evaluation with aggregate time-series shocks
    Author(s) Arkhangelsky, D. (ES)
    Korovkin, Vasily (NHU-C)
    Issue dataPrague: CERGE-EI, 2020
    ISSN1211-3298
    SeriesCERGE-EI Working Paper Series
    Series number657
    Number of pages54 s.
    Publication formPrint - P
    Languageeng - English
    CountryCZ - Czech Republic
    Keywordscontinuous difference in differences ; panel data ; causal effects
    Subject RIVAH - Economics
    OECD categoryApplied Economics, Econometrics
    Institutional supportNHU-C - Progres-Q24
    AnnotationWe 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.
    WorkplaceEconomics Institute - CERGE
    ContactTomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122
    Year of Publishing2021
    Electronic addresshttps://www.cerge-ei.cz/pdf/wp/Wp657.pdf
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