Two-way fixed effects and differences-in-differences with heterogeneous treatment effects: a survey

Abstract

NBER WORKING PAPER SERIES TWO-WAY FIXED EFFECTS AND DIFFERENCES-IN-DIFFERENCES WITH HETEROGENEOUS TREATMENT EFFECTS: A SURVEY Clément de Chaisemartin Xavier D'Haultfoeuille Working Paper 29734 http://www.nber.org/papers/w29734 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 February 2022, Revised May 2022 We are very grateful to Francesco Armillei, Kirill Borusyak, Bruno Ferman, Xavier Jaravel, Jonathan Roth, Jann Spiess, Gonzalo Vazquez-Bare, Kaspar Wüthrich, Jaap Abbring (the editor) and two anonymous referees for their helpful comments. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications. © 2022 by Clément de Chaisemartin and Xavier D'Haultfoeuille. All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission provided that full credit, including © notice, is given to the source. Two-Way Fixed Effects and Differences-in-Differences with Heterogeneous Treatment Effects: A Survey Clément de Chaisemartin and Xavier D'Haultfoeuille NBER Working Paper No. 29734 February 2022, Revised May 2022 JEL No. C21,C23 ABSTRACT Linear regressions with period and group fixed effects are widely used to estimate …

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