Two-Way Fixed Effects Estimators with Heterogeneous Treatment Effects
研究发现，带时期和组别固定效应的线性回归估计的是各组各期平均处理效应的加权和，权重可能为负，导致系数符号与真实效应相反。文章提出新估计量解决此问题，并在两个应用中得出与线性回归显著不同的结果。
Linear regressions with period and group fixed effects are widely used to estimate treatment effects. We show that they estimate weighted sums of the average treatment effects (ATE ) in each group and period, with weights that may be negative. Due to the negative weights, the linear regression coefficient may for instance be negative while all the ATEs are positive. We propose another estimator that solves this issue. In the two applications we revisit, it is significantly different from the linear regression estimator.