Financial Econometrics Chapter 8.Difference-in-difference Model 2 Jin Ling School of Finance,Zhongnan University of Economics and Law
Financial Econometrics Chapter 8. Difference-in-difference Model 2 Jin Ling School of Finance, Zhongnan University of Economics and Law 1
The DID Model The model specification: 因果效应 D】 yD.o Yoo T=0 T-1 2
• The model specification: 2 The DID Model
The DID Model 。The base model: Yit a+BTreati Postt +B2Treati+B3Postt+Eit Treat;is a dummy variable that equals 1 for treatment group,and is 0 otherwise. Postt is a dummy variable that equals I for period after treatment,and is 0 otherwise. 因果效应 Y Y T-0 7-l 3
• The base model: 𝑌𝑖,𝑡 = 𝛼 + 𝛽1𝑇𝑟𝑒𝑎𝑡𝑖 ∗ 𝑃𝑜𝑠𝑡𝑡 + 𝛽2𝑇𝑟𝑒𝑎𝑡𝑖 + 𝛽3𝑃𝑜𝑠𝑡𝑡 + 𝜀𝑖,𝑡 • 𝑇𝑟𝑒𝑎𝑡𝑖 is a dummy variable that equals 1 for treatment group, and is 0 otherwise. • 𝑃𝑜𝑠𝑡𝑡 is a dummy variable that equals 1 for period after treatment, and is 0 otherwise. 3 The DID Model
The DID Model ·The Parallel Trend Assumption(共同趋势假定或平行趋势假定)： (X E[Yis -YouI D.=1,X] =E[YIR I D:=1,X ]-E[Yo D;=1,X.] E[Y&D:=1,X2]-(E[Yo-1 D:=1,X2 +E[Ym-Ya-1|D,=0,X]} E[Yoit-You-1X D;=1]E[Yo-Yo-1Xi,D=0] 或写为： E[△Yoa|X。,D,=1]=E[△Yai Xa,D:=0]
• The Parallel Trend Assumption (共同趋势假定或平行趋势假定）: 4 The DID Model
The DID Model 。Another form: ECYo X ,D;=1]-E[YoXi,D;=0] =E[Yo-1X,D;=1]-E[YoiXD;=0] 或写为： B,(x)=B-1(x） 其中， B,(x)=E[Yoa|X。=x;D,=1]-E[Yoa{X。=x,D,=0]
• Another form: 5 The DID Model