Design-Robust Event-Study Estimation under Staggered Adoption Diagnostics, Sensitivity, and Orthogonalisation

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1. Verfasser: Wright, Craig S
Format: Preprint
Veröffentlicht: 2026
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_version_ 1866910001652563968
author Wright, Craig S
author_facet Wright, Craig S
contents This paper develops a design-first econometric framework for event-study and difference-in-differences estimands under staggered adoption with heterogeneous effects, emphasising (i) exact probability limits for conventional two-way fixed effects event-study regressions, (ii) computable design diagnostics that quantify contamination and negative-weight risk, and (iii) sensitivity-robust inference that remains uniformly valid under restricted violations of parallel trends. The approach is accompanied by orthogonal score constructions that reduce bias from high-dimensional nuisance estimation when conditioning on covariates. Theoretical results and Monte Carlo experiments jointly deliver a self-contained methodology paper suitable for finance and econometrics applications where timing variation is intrinsic to policy, regulation, and market-structure changes.
format Preprint
id arxiv_https___arxiv_org_abs_2601_18801
institution arXiv
publishDate 2026
record_format arxiv
spellingShingle Design-Robust Event-Study Estimation under Staggered Adoption Diagnostics, Sensitivity, and Orthogonalisation
Wright, Craig S
Econometrics
General Economics
Economics
Computational Finance
General Finance
62P20, 62J12, 62F03, 62M10, 91B84
G.3; I.6.5; I.6.8
This paper develops a design-first econometric framework for event-study and difference-in-differences estimands under staggered adoption with heterogeneous effects, emphasising (i) exact probability limits for conventional two-way fixed effects event-study regressions, (ii) computable design diagnostics that quantify contamination and negative-weight risk, and (iii) sensitivity-robust inference that remains uniformly valid under restricted violations of parallel trends. The approach is accompanied by orthogonal score constructions that reduce bias from high-dimensional nuisance estimation when conditioning on covariates. Theoretical results and Monte Carlo experiments jointly deliver a self-contained methodology paper suitable for finance and econometrics applications where timing variation is intrinsic to policy, regulation, and market-structure changes.
title Design-Robust Event-Study Estimation under Staggered Adoption Diagnostics, Sensitivity, and Orthogonalisation
topic Econometrics
General Economics
Economics
Computational Finance
General Finance
62P20, 62J12, 62F03, 62M10, 91B84
G.3; I.6.5; I.6.8
url https://arxiv.org/abs/2601.18801