An Introductory Guide to Event Study Models
Douglas L. Miller
Abstract
The event study model is a powerful econometric tool used for the purpose of estimating dynamic treatment effects. One of its most appealing features is that it provides a built-in graphical summary of results, which can reveal rich patterns of behavior. Another value of the picture is the estimated pre-event pseudo-“effects,” which provide a type of placebo test. In this essay I aim to provide a framework for a shared understanding of these models. There are several (sometimes subtle) decisions and choices faced by users of these models, and I offer guidance for these decisions.
Topics & Concepts
Event (particle physics)Computer scienceValue (mathematics)Test (biology)Event studyEvent dataEconometricsEconometric modelData scienceManagement scienceMachine learningEconomicsContext (archaeology)HistoryArchaeologyPhysicsBiologyPaleontologyAnalyticsQuantum mechanicsAdvanced Causal Inference TechniquesHealth Systems, Economic Evaluations, Quality of LifeHealthcare Policy and Management