A Generalized Regression-adjustment Estimator for Average Treatment Effects from Panel Data

Abstract

I illustrate that the simple regression-adjustment estimator is inconsistent for the average treatment effect when the random effects affecting treatment assignment are correlated with the random effects that affect the potential outcomes. I present a simple parametric estimator that is consistent in this case.

Keywords

st0456 panel data longitudinal data random effects causal inference treatment effect regression adjustment endogenous treatment gsem

References

Baltagi

B. H.

2013. Econometric Analysis of Panel Data. 5th ed. New York: Wiley.

Cameron

A. C.

, and Trivedi

P. K.

2005. Microeconometrics: Methods and Applications. New York: Cambridge University Press.

Imbens

G. W.

2004. Nonparametric estimation of average treatment effects under exogeneity: A review. Review of Economics and Statistics 86: 4–29.

Imbens

G. W.

, and Rubin

D. B.

2015. Causal Inference for Statistics, Social, and Biomedical Sciences: An Introduction. New York: Cambridge University Press.

Imbens

G. W.

, and Wooldridge

J. M.

2009. Recent developments in the econometrics of program evaluation. Journal of Economic Literature 47: 5–86.

Rabe-Hesketh

, and Skrondal

2012. Multilevel and Longitudinal Modeling Using Stata. 3rd ed. College Station, TX: Stata Press.

Wooldridge

J. M.

2010. Econometric Analysis of Cross Section and Panel Data. 2nd ed. Cambridge, MA: MIT Press.