京都大学 大学院経済学研究科・経済学部

SEMINAR SERIES

Applied Microeconomics Seminar (Joint with Econometrics Seminar, KIER)

Shoya Ishimaru(Assistant Professor, Department of Economics, Hitotsubashi University)

Date&Time:
2024.9.20 (Fri) 10:30-12:00
Venue:
Seminar Room 201 on 2F, Faculty of Law and Faculty of Economics, East Bldg., Yoshida Campus, Kyoto University
Language:
English
Contact:
Ken Yamada, Takahide Yanagi

(Title)

"What Do We Get from Two-Way Fixed Effects Regressions? Implications from Numerical Equivalence"

Abstract:
In any multiperiod panel, a two-way fixed effects (TWFE) regression is numerically equivalent to a first-difference (FD) regression that pools all possible between-period gaps. Building on this observation, this paper develops numerical and causal interpretations of the TWFE coefficient. At the sample level, the TWFE coefficient is a weighted average of FD coefficients with different between-period gaps. This decomposition is useful for assessing the source of identifying variation for the TWFE coefficient. At the population level, a causal interpretation of the TWFE coefficient requires a common trends assumption for any between-period gap, and the assumption has to be conditional on changes in time-varying covariates. I propose a natural generalization of the TWFE estimator that can relax these requirements.

You can refer to the website of Econometrics seminar, KIER; from here