Skip to content

A random walk away finance

Difference-in-Differences Estimation

Empirical researchers have been using difference-in-differences (DiD) estimation to identify an event's Average Treatment effect on the Treated entities (ATT). This post is my understanding and a non-technical note of the DiD approach as it evolves over the past years, especially on the problems and solutions when multiple treatment events are staggered.

Correlated Random Effects

Can we estimate the coefficient of gender while controlling for individual fixed effects? This sounds impossible as an individual's gender typically does not vary and hence would be absorbed by individual fixed effects. However, Correlated Random Effects (CRE) may actually help.

At last year's FMA Annual Meeting, I learned this CRE estimation technique when discussing a paper titled "Gender Gap in Returns to Publications" by Piotr Spiewanowski, Ivan Stetsyuk and Oleksandr Talavera. Let me recollect my memory and summarize the technique in this post.

Centrifuge Problem

Question

Given a centrifuge with \(n\) holes, can we balance it with \(k\) (\(1\le k \le n\)) identical test tubes?