“An Introductory Guide to Event Study Models” (2023), by Douglas L. Miller. Mathematics research paper. Original abstract below, unchanged. No free PDF was found.

An Introductory Guide to Event Study Models

Douglas L. Miller · May 1, 2023 · Mathematics

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.

Source page DOI: 10.1257/jep.37.2.203