Bayesian Estimation of Cohort-Time-Stratum Specific Effects in Staggered Difference-in-Differences
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866913151417581568 |
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| author | Chib, Siddhartha Shimizu, Kenichi |
| author_facet | Chib, Siddhartha Shimizu, Kenichi |
| contents | Difference-in-Differences designs with staggered treatment adoption are widely used to study heterogeneous treatment effects across cohorts and time periods. We develop a probabilistic framework for estimating potentially high-dimensional ATT arrays that vary across cohorts, periods, and strata defined by baseline covariates. The framework jointly estimates subgroup-specific treatment effects through a unified likelihood-based model, stabilizing inference in sparse cohort-by-time-by-stratum settings. We establish a Bernstein-von Mises theorem for the ATT array, implying asymptotically valid frequentist coverage of posterior credible intervals. Simulations and an application to minimum wage increases and teen employment demonstrate meaningful finite-sample improvements and important subgroup heterogeneity. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2505_18391 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Bayesian Estimation of Cohort-Time-Stratum Specific Effects in Staggered Difference-in-Differences Chib, Siddhartha Shimizu, Kenichi Econometrics Methodology Difference-in-Differences designs with staggered treatment adoption are widely used to study heterogeneous treatment effects across cohorts and time periods. We develop a probabilistic framework for estimating potentially high-dimensional ATT arrays that vary across cohorts, periods, and strata defined by baseline covariates. The framework jointly estimates subgroup-specific treatment effects through a unified likelihood-based model, stabilizing inference in sparse cohort-by-time-by-stratum settings. We establish a Bernstein-von Mises theorem for the ATT array, implying asymptotically valid frequentist coverage of posterior credible intervals. Simulations and an application to minimum wage increases and teen employment demonstrate meaningful finite-sample improvements and important subgroup heterogeneity. |
| title | Bayesian Estimation of Cohort-Time-Stratum Specific Effects in Staggered Difference-in-Differences |
| topic | Econometrics Methodology |
| url | https://arxiv.org/abs/2505.18391 |