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Discussion Paper Details

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Title: On Event Study Designs and Distributed-Lag Models: Equivalence, Generalization and Practical Implications

Author(s): Kurt Schmidheiny and Sebastian Siegloch

Publication Date: January 2019

Keyword(s): applied microeconomics, credibility revolution, distributed-lag and event study

Programme Area(s): Public Economics

Abstract: We discuss important features and pitfalls of panel-data event study designs. We derive the following main results: First, event study designs and distributed-lag models are numerically identical leading to the same parameter estimates after correct reparametrization. Second, binning of effect window endpoints allows identification of dynamic treatment effects even when no never-treated units are present. Third, classic dummy variable event study designs can be naturally generalized to models that account for multiple events of different sign and intensity of the treatment, which are particularly interesting for research in labor economics and public finance.

For full details and related downloads, please visit: https://cepr.org/active/publications/discussion_papers/dp.php?dpno=13477

Bibliographic Reference

Schmidheiny, K and Siegloch, S. 2019. 'On Event Study Designs and Distributed-Lag Models: Equivalence, Generalization and Practical Implications'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=13477