NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Stefan Wager

GSB
Stanford University
Stanford, CA 94305
US

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: Stanford University

NBER Working Papers and Publications

February 2019Synthetic Difference In Differences
with Dmitry Arkhangelsky, Susan Athey, David A. Hirshberg, Guido W. Imbens: w25532
We present a new perspective on the Synthetic Control (SC) method as a weighted least squares regression estimator with time fixed effects and unit weights. This perspective suggests a generalization with two way (both unit and time) fixed effects, and both unit and time weights, which can be interpreted as a unit and time weighted version of the standard Difference In Differences (DID) estimator. We find that this new Synthetic Difference In Differences (SDID) estimator has attractive properties compared to the SC and DID estimators. Formally we show that our approach has double robustness properties: the SDID estimator is consistent under a wide variety of weighting schemes given a well-specified fixed effects model, and SDID is consistent with appropriately penalized SC weights when ...
 
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