第491期岭南学术论坛(经济学系列Seminar)

Simple and Trustworthy Asymptotic Tests in Difference-in-Differences Regressions

作者:高级管理员 发布日期:2018-05-31
主题
Simple and Trustworthy Asymptotic Tests in Difference-in-Differences Regressions
活动时间
-
活动地址
岭南堂汪道涵会议室
主讲人
刘成
主持人
王霞

报告题目:Simple and Trustworthy Asymptotic Tests in Difference-in-Differences Regressions

报 告 人:刘成(武汉大学经济与管理学院 副教授)

主 持 人:王霞(中山大学岭南学院 副教授)

时      间:2018年6月5日(周二)下午14:30-16:00

地      点:岭南堂汪道涵会议室

语      言:中文+英文

 

Abstract:

The paper proposes an asymptotically valid t  test in a difference-in-differences (DD) regression when the number of time periods is large while the number of individuals can be small or large. The proposed test is based on a special heteroscedasticity and autocorrelation robust (HAR) variance estimator that is tailored to inference problems in the DD setting. The asymptotic distribution of the t test depends on the smoothing parameter K in the HAR variance estimator, and a testing-optimal procedure for choosing K is developed through minimizing the type II error subject to a constraint on the type I error of the test. By capturing the estimation uncertainty of the HAR variance estimator, the t test has a more accurate size than the corresponding normal test and is just as powerful as the latter. Compared to the nonstandard test that is designed to reduce the size distortion of the normal test, the proposed test is just as accurate but much more convenient to use, as the critical values are from the standard able.

 

报告人简介 :/UploadFiles/xsbg/2018/5/201805310848230914.docx

 

 

 

 

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