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On policy evaluation with aggregate time-series shocks
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SYSNO ASEP 0525509 Document Type V - Research Report R&D Document Type The record was not marked in the RIV Title On policy evaluation with aggregate time-series shocks Author(s) Arkhangelsky, D. (ES)
Korovkin, Vasily (NHU-C)Issue data Prague: CERGE-EI, 2020 ISSN 1211-3298 Series CERGE-EI Working Paper Series Series number 657 Number of pages 54 s. Publication form Print - P Language eng - English Country CZ - Czech Republic Keywords continuous difference in differences ; panel data ; causal effects Subject RIV AH - Economics OECD category Applied Economics, Econometrics Institutional support NHU-C - Progres-Q24 Annotation 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. Workplace Economics Institute - CERGE Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2021 Electronic address https://www.cerge-ei.cz/pdf/wp/Wp657.pdf
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