Laura M. Argys, Thomas A. Mroz, and M. Melinda Pitts
Working Paper 2023-11
This paper develops a simple approach to overcome the shortcomings of using a standard, single treatment–effect event study to assess the ability of an empirical model to measure heterogeneous treatment effects. Equally as important, we discuss how the standard errors reported in a typical event-study analysis for the posttreatment event-time effects are, without additional information, of limited use for assessing posttreatment variations in the treatment effects. The simple reformulation of the standard event—study approach described and illustrated with artificially constructed data in this paper overcomes the limitations of conventional event-study analyses.
JEL classification: C22, C23
Key words: event studies, heterogeneous treatment effects
The views expressed here are those of the authors and not necessarily those of the Federal Reserve Bank of Atlanta or the Federal Reserve System. Any remaining errors are the authors' responsibility.
Please address questions regarding content to Laura M. Argys, Department of Economics, CB 181, University of Colorado Denver, PO Box 173364, Denver, CO 80217-3364; Thomas A. Mroz, Georgia State University, Department of Economics, PO Box 3992, Atlanta, GA 30302-3992; or M. Melinda Pitts, Federal Reserve Bank of Atlanta, Research Department, 1000 Peachtree Street NE, Atlanta, GA 30309-4470, 404-498-7009.
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