Název: On policy evaluation with aggregate time-series shocks
Autoři: Arkhangelsky, D. ; Korovkin, Vasily
Typ dokumentu: Výzkumné zprávy
Rok: 2020
Jazyk: eng
Edice: CERGE-EI Working Paper Series, svazek: 657
Abstrakt: 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.
Klíčová slova: causal effects; continuous difference in differences; panel data
Číslo projektu: GA19-25383S (CEP)
Poskytovatel projektu: GA ČR

Instituce: Národohospodářský ústav AV ČR (web)
Informace o dostupnosti dokumentu: Dokument je dostupný na externích webových stránkách.
Externí umístění souboru: https://www.cerge-ei.cz/pdf/wp/Wp657.pdf
Původní záznam: http://hdl.handle.net/11104/0309623

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-438243


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