Bruce E. Hansen
Standard Errors for Difference-in-Difference Regression
July 2024
Abstract:
TThis paper makes a case for the use of jackknife methods for standard error,
p-value, and confidence interval construction for difference-in-difference
regression. We review CRVE$_{1}$, CRVE$_{2}$, bootstrap, and jackknife
standard error methods, and show that the first three can substantially
underperform in conventional settings. In contrast, our proposed jackknife
inference methods work well in broad contexts. We illustrate the relevance by
replicating several influential DiD applications, and showing how inferential
results can change if jackknife standard error and inference methods are used.
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Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111.
Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.