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STICERD Econometrics Seminar Series

Synthetic Difference in Differences

Stefan Wager (Stanford)

Thursday 21 November 2019 14:00 - 15:30

Due to the onging coronavirus outbreak, many of our seminars and public events this year will continue as online seminars. Please check our website listings and Twitter feed @STICERD_LSE for updates.


About this event

We present a new perspective on the Synthetic Control (SC) method as a weighted least squares regression estimator with time fixed effects and unit weights. This perspective suggests a generalization with two way (both unit and time) fixed effects, and both unit and time weights, which can be interpreted as a unit and time weighted version of the standard Difference In Differences (DID) estimator. We find that this new Synthetic Difference In Differences (SDID) estimator has attractive properties compared to the SC and DID estimators. Formally we show that our approach has double robustness properties: the SDID estimator is consistent under a wide variety of weighting schemes given a well-specified fixed effects model, and SDID is consistent with appropriately penalized SC weights when the basic fixed effects model is misspecified and instead the true data generating process involves a more general low-rank structure (e.g., a latent factor model). We also present results that justify standard inference based on weighted DID regression. Further generalizations include unit and time weighted factor models.

STICERD Econometrics seminars are held on Thursdays in term time at 14.00-15.30, ONLINE, unless specified otherwise.

Seminar organisers: Professor Tai Otsu and Dr. Vassilis Hajivassiliou.

For further information please contact Lubala Chibwe, either by email: l.chibwe@lse.ac.uk.

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