Inference with Difference-in-Differences and Other Panel Data
研究当组数较少时面板数据的推断问题，提出简单两步估计量，并通过蒙特卡洛模拟验证理论分析，对使用差分法的实证研究者有参考价值。
We examine inference in panel data when the number of groups is small, as is typically the case for difference-in-differences estimation and when some variables are fixed within groups. In this case, standard asymptotics based on the number of groups going to infinity provide a poor approximation to the finite sample distribution. We show that in some cases the t-statistic is distributed as t and propose simple two-step estimators for these cases. We apply our analysis to two well-known papers. We confirm our theoretical analysis with Monte Carlo simulations. Copyright by the President and Fellows of Harvard College and the Massachusetts Institute of Technology.