Revisiting event-study designs: robust and efficient estimation

Borusyak, Kirill, Jaravel, Xavier ORCID: 0000-0001-9228-2137 and Spiess, Jann (2024) Revisiting event-study designs: robust and efficient estimation. Review of Economic Studies, 91 (6). 3253 - 3285. ISSN 0034-6527

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Abstract

We develop a framework for difference-in-differences designs with staggered treatment adoption and heterogeneous causal effects. We show that conventional regression-based estimators fail to provide unbiased estimates of relevant estimands absent strong restrictions on treatment-effect homogeneity. We then derive the efficient estimator addressing this challenge, which takes an intuitive “imputation” form when treatment-effect heterogeneity is unrestricted. We characterize the asymptotic behaviour of the estimator, propose tools for inference, and develop tests for identifying assumptions. Our method applies with time-varying controls, in triple-difference designs, and with certain non-binary treatments. We show the practical relevance of our results in a simulation study and an application. Studying the consumption response to tax rebates in the U.S., we find that the notional marginal propensity to consume is between 8 and 11% in the first quarter—about half as large as benchmark estimates used to calibrate macroeconomic models—and predominantly occurs in the first month after the rebate.

Item Type:	Article
Official URL:	https://academic.oup.com/restud
Additional Information:	© 2024 The Author(s)
Divisions:	Economics
Subjects:	H Social Sciences > HB Economic Theory
JEL classification:	C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C21 - Cross-Sectional Models; Spatial Models; Treatment Effect Models C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C23 - Models with Panel Data E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Employment, and Investment > E21 - Macroeconomics: Consumption; Saving; Aggregate Physical and Financial Consumer Wealth
Date Deposited:	05 Jun 2024 09:54
Last Modified:	25 Oct 2025 23:30
URI:	http://eprints.lse.ac.uk/id/eprint/123781

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