TY  - CHAP
AB  - Abstract This paper is concerned with estimation and inference for difference-in-difference regressions with errors that exhibit high serial dependence, including near unit roots, unit roots, and linear trends. We propose a couple of solutions based on a parametric formulation of the error covariance. First stage estimates of autoregressive structures are obtained by using the Han, Phillips, and Sul (2011, 2013) X-differencing transformation. The X-differencing method is simple to implement and is unbiased in large N settings. Compared to similar parametric methods, the approach is computationally simple and requires fewer restrictions on the permissible parameter space of the error process. Simulations suggest that our methods perform well in the finite sample across a wide range of panel dimensions and dependence structures.
VL  - 33
SN  - 978-1-78441-183-1/0731-9053
DO  - 10.1108/S0731-905320140000033009
UR  - https://doi.org/10.1108/S0731-905320140000033009
AU  - Greenaway-McGrevy Ryan
AU  - Han Chirok
AU  - Sul Donggyu
PY  - 2014
Y1  - 2014/01/01
TI  - Efficient Estimation and Inference for Difference-In-Difference Regressions with Persistent Errors
T2  - Essays in Honor of Peter C. B. Phillips
T3  - Advances in Econometrics
PB  - Emerald Group Publishing Limited
SP  - 281
EP  - 302
Y2  - 2024/04/25
ER  -