An Introductory Guide to Event Study Models
- (pp. 203-30)
AbstractThe 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.
CitationMiller, 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
- 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
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