Advanced Econometrics

Lecture notes on the estimation of causal treatment effects, from outcome regression and inverse probability weighting to doubly robust difference-in-differences.

Introduction

Introduction and Outline introduces the first three lectures and their connection to the doubly robust Callaway–Sant’Anna difference-in-differences estimator.

Lecture Notes

  1. Outcome Regression
  2. Inverse Probability Weighting
  3. Doubly Robust Estimation
  4. Doubly Robust Inference and Cross-Fitting
  5. Doubly Robust Difference-in-Differences
  6. Doubly Robust Estimation with Staggered Adoption
  7. Extension: Repeated Cross-Sections and Improved Inference
  8. From TWFE to Callaway–Sant’Anna

Reading

Imbens, G. W. (2004). Nonparametric Estimation of Average Treatment Effects Under Exogeneity: A Review. The Review of Economics and Statistics, 86(1), 4–29.