Using Event Studies as an Outcome in Causal Analysis
Abstract
We study a causal inference problem with group-level outcomes, which are themselves parameters identified from microdata. We formalize these outcomes using population moment conditions and demonstrate that one-step Generalized Method of Moments (GMM) estimators are generally inconsistent due to an endogenous weighting bias, where policy affects the implicit GMM weights. In contrast, two-stage Minimum Distance (MD) estimators perform well when group sizes are sufficiently large. While MD estimators can still be inconsistent in small groups due to a policy-induced sample selection, we demonstrate that this can be addressed by incorporating auxiliary population information. An empirical application illustrates the practical importance of these findings.
Important table & figure
BibTeX citation
@online{arkhangelsky2025,
title = {Using Event Studies as an Outcome in Causal Analysis},
author = {Arkhangelsky, Dmitry and Yanagimoto, Kazuharu and Zohar, Tom},
date = {2025-01-29},
eprint = {2403.19563},
eprinttype = {arXiv},
eprintclass = {econ},
doi = {10.48550/arXiv.2403.19563},
url = {http://arxiv.org/abs/2403.19563},
langid = {english},
pubstate = {prepublished},
keywords = {Economics - General Economics,Quantitative Finance - Economics}
}