Unpublished Research

Work in Progress

The Marcinkiewicz-Zygmund law of large numbers for exchangeable arrays

We show a Marcinkiewicz-Zygmund law of large numbers (both in L^r and a.s.) for jointly and dissociated exchangeable arrays. As a result, we obtain a law of iterated logarithm for such arrays under a weaker moment condition than the existing one.

with Laurent Davezies and Yannick Guyonvarch
Publisher's website

Nonparametric Difference-in-Differences in Repeated Cross-Sections with Continuous Treatments

We extend the change-in-change model of Athey and Imbens (2006) to continuous treatments. We require an exogenous change over time of the distribution of the treatment inducing a crossing in their cdfs. This crossing plays the role of a “control group”, and allows us to average and quantile treatment effects in a nonparametric way.

(Note: this is a substantially revised version of our 2015 WP “Nonlinear Difference-in-Differences in Repeated Cross Sections with Continuous Treatments”)

with Stefan Hoderlein and Yuya Sasaki
Publisher's website

Two-way Fixed Effects Regressions with Several Treatments

We extend our previous paper on two-way fixed effect regressions to cases with multiple treatments.

Note: the new version of our Stata command twowayfeweights (downloadable on SSC) now allows for multiple treatments.

With Clément de Chaisemartin
Publisher's website

Identification and Estimation of average marginal effects in fixed effect logit models

We show that the sharp bounds on the average marginal and treatment effects (AME and ATE) can be obtained very simply in fixed effect logit models, without any optimization. We consider two related estimation methods. The second is very simple but yields asymptotically to larger confidence intervals, though it performs very well in finite samples.

with Laurent Davezies and Louise Laage
Publisher's website

An alternative to synthetic control for models with many covariates under sparsity

The synthetic control program does not admit a unique solution when n, the number of control units, is larger than p, the dimension of the variables used to construct the synthetic control. We propose a method that solves this issue and enjoys a double robustness property. We then extend it to the case where p is potentially larger than n, and show root-n consistency and asymptotic normality of the corresponding ATT estimator.

with Marianne Bléhaut, Jérémy L'Hour and Alexandre B. Tsybakov
Publisher's website

Difference-in-Differences Estimators of Intertemporal Treatment Effects

We consider treatment effect estimators with a panel of groups. We focus on parameters aggregating instantaneous and dynamic treatment effects, with a clear welfare interpretation. Under parallel trends, these parameters can be unbiasedly estimated by a weighted average of differences-in-differences. Our estimators are valid if the treatment effect is heterogeneous and beyond staggered adoption designs, contrary to the commonly-used event-study regression.

with Clément de Chaisemartin
Publisher's website

Fixed Effects Binary Choice Models with Three or More Periods

We show that the impossiblity result of Chamberlain for fixed effects binary choice models (with iid errors, the slope parameter is point identified only with logistic errors) only holds with T=2. With three or more periods, we exhibit a family of distribution for which point identification can be achieved. Identification leads to a GMM estimator, which reaches the semiparametric efficiency bound when T=3.

with Laurent Davezies and Martin Mugnier
Publisher's website Appendix file

Empirical MSE Minimization to Estimate a Scalar Parameter

We consider the estimation of a scalar parameter, when two estimators are available. The first is always consistent. The second is inconsistent in general, but has a smaller asymptotic variance than the first, and may be consistent if an assumption is satisfied. We propose to use the weighted sum of the two estimators with the lowest estimated mean-squared error (MSE). This third estimator dominates the other two from a minimax-regret perspective.

with Clément de Chaisemartin
Publisher's website

Faut-il pondérer ? Ou l’éternelle questin de l’économètre confronté à des données de sondage

A note in French with on whether we should use survey weights in econometrics. The note is complete but most plausibly will never be published.

with Laurent Davezies.
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