This website uses cookies.

By clicking the "Accept" button or continuing to browse our site, you agree to first-party and session-only cookies being stored on your device to enhance site navigation and analyze site performance and traffic. For more information on our use of cookies, please see our Privacy Policy.

  1. Home
  2. Journals
  3. Journal of Economic Perspectives
  4. Spring 2023
  5. An Introductory Guide to Event Study Models

An Introductory Guide to Event Study Models

  • Douglas L. Miller
Journal of Economic Perspectives
vol. 37, no. 2, Spring 2023
(pp. 203-30)
Download Full Text PDF
(Complimentary)

Abstract

The event study model is a powerful econometric tool used for the purpose of estimating dynamic treatment effects. One of its most appealing features is that it provides a built-in graphical summary of results, which can reveal rich patterns of behavior. Another value of the picture is the estimated pre-event pseudo-"effects", which provide a type of placebo test. In this essay I aim to provide a framework for a shared understanding of these models. There are several (sometimes subtle) decisions and choices faced by users of these models, and I offer guidance for these decisions.

Citation

Miller, Douglas L. 2023. "An Introductory Guide to Event Study Models." Journal of Economic Perspectives, 37 (2): 203-30. DOI: 10.1257/jep.37.2.203

Additional Materials

JEL Classification

  • C22 Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
  • C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
There are no comments for this article.
Login to Comment