NBER WORKING PAPER SERIES

TWO-WAY FIXED EFFECTS AND DIFFERENCES-IN-DIFFERENCES WITH

HETEROGENEOUS TREATMENT EFFECTS:
A SURVEY

Clément de Chaisemartin
Xavier D'Haultfoeuille

Working Paper 29734

http://www.nber.org/papers/w29734

NATIONAL BUREAU OF ECONOMIC RESEARCH

1050 Massachusetts Avenue
Cambridge, MA 02138
February 2022, Revised May 2022

We are very grateful to Francesco Armillei, Kirill Borusyak, Bruno Ferman, Xavier Jaravel,
Jonathan Roth, Jann Spiess, Gonzalo Vazquez-Bare, Kaspar Wüthrich, Jaap Abbring (the editor)
and two anonymous referees for their helpful comments. The views expressed herein are those of
the authors and do not necessarily reflect the views of the National Bureau of Economic
Research.

NBER working papers are circulated for discussion and comment purposes. They have not been
peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies
official NBER publications.

© 2022 by Clément de Chaisemartin and Xavier D'Haultfoeuille. All rights reserved. Short
sections of text, not to exceed two paragraphs, may be quoted without explicit permission
provided that full credit, including © notice, is given to the source.
Two-Way Fixed Effects and Differences-in-Differences with Heterogeneous Treatment Effects:
A Survey
Clément de Chaisemartin and Xavier D'Haultfoeuille
NBER Working Paper No. 29734
February 2022, Revised May 2022
JEL No. C21,C23

ABSTRACT

Linear regressions with period and group fixed effects are widely used to estimate policies’
effects: 26 of the 100 most cited papers published by the American Economic Review from 2015
to 2019 estimate such regressions. It has recently been shown that those regressions may produce
misleading estimates, if the policy’s effect is heterogeneous between groups or over time, as is
often the case. This survey reviews a fast-growing literature that documents this issue, and that
proposes alternative estimators robust to heterogeneous effects. We use those alternative
estimators to revisit Wolfers (2006a).

Clément de Chaisemartin
Department of Economics
University of California at Santa Barbara
Santa Barbara, CA 93106
and NBER
[email protected]

Xavier D'Haultfoeuille
CREST
5 avenue Henry Le Chatelier
91764 Palaiseau cedex
FRANCE
[email protected]
 Two-Way Fixed Effects and Differences-in-Differences with
Heterogeneous Treatment Effects: A Survey∗
Clément de Chaisemartin† Xavier D’Haultfœuille‡

Abstract
Linear regressions with period and group fixed effects are widely used to estimate
policies’ effects: 26 of the 100 most cited papers published by the American Economic
Review from 2015 to 2019 estimate such regressions. It has recently been shown that
those regressions may produce misleading estimates, if the policy’s effect is heterogeneous
between groups or over time, as is often the case. This survey reviews a fast-growing
literature that documents this issue, and that proposes alternative estimators robust to
heterogeneous effects. We use those alternative estimators to revisit Wolfers (2006a).
Keywords: two-way fixed effects regressions, differences-in-differences, parallel trends,
heterogeneous treatment effects, panel data, repeated-cross section data, policy evalua-
tion.

1 Introduction
A popular method to estimate the effect of a policy, or treatment, on an outcome is to compare
over time groups experiencing different evolutions of their exposure to treatment. In practice,
this idea is implemented by regressing Yg,t , the outcome in group g and at period t, on group
fixed effects, period fixed effects, and Dg,t , the treatment of group g at period t. For instance,
to measure the effect of the minimum wage on employment in the US, researchers have often
regressed employment in county g and year t on county fixed effects, year fixed effects, and
the minimum wage in county g and year t.
Such two-way fixed effects (TWFE) regressions are probably the most-commonly used
technique in economics to measure the effect of a treatment on an outcome. de Chaisemartin
and D’Haultfœuille (2021a) conducted a survey of the 20 papers with the most Google Scholar
citations published by the American Economic Review in 2015, and of the similarly selected
papers in 2016, 2017, 2018, and 2019. Of those 100 papers, 26 have estimated at least one
TWFE regression to estimate the effect of a treatment on an outcome. TWFE regressions
are also very commonly used in political science, sociology, and environmental sciences.
Researchers have long thought that TWFE estimators are equivalent to differences-in-
differences (DID) estimators. With two groups and two periods, a DID estimator compares
∗
We are very grateful to Francesco Armillei, Kirill Borusyak, Bruno Ferman, Xavier Jaravel, Jonathan
Roth, Jann Spiess, Gonzalo Vazquez-Bare, Kaspar Wüthrich, Jaap Abbring (the editor) and two anonymous
referees for their helpful comments.
†
Economics Department, Sciences Po, [email protected]
‡
CREST-ENSAE, [email protected]

1
the outcome evolution from period 1 to 2 between a treatment group s that switches from
untreated to treated, and a control group n that is untreated at both dates:

DID = Ys,2 − Ys,1 − (Yn,2 − Yn,1 ) . (1.1)

DID relies on a parallel trends assumption: in the absence of the treatment, both groups
would have experienced the same outcome evolution. Specifically, for every g ∈ {s, n} and
t ∈ {1, 2}, let Yg,t (0) and Yg,t (1) denote the potential outcomes in group g at period t without
and with the treatment, respectively.1 Parallel trends requires that the expected evolution of
the untreated outcome be the same in both groups:

E [Ys,2 (0) − Ys,1 (0)] = E [Yn,2 (0) − Yn,1 (0)] .

Under that assumption, DID is unbiased for the average treatment effect (ATE) in group s
at period 2 (see, e.g., Abadie (2005)):

E [DID] =E [Ys,2 − Ys,1 − (Yn,2 − Yn,1 )]

=E [Ys,2 (1) − Ys,1 (0) − (Yn,2 (0) − Yn,1 (0))]
=E [Ys,2 (1) − Ys,2 (0)] + E [Ys,2 (0) − Ys,1 (0)] − E [Yn,2 (0) − Yn,1 (0)]
=E [Ys,2 (1) − Ys,2 (0)] , (1.2)

where the last equality follows from the parallel trends assumption. Parallel trends is partly
testable, by comparing the outcome trends of groups s and n, before group s received the
treatment. In practice, such pre-trends tests sometimes fail, but other times they indicate
that the two groups were indeed on parallel paths before s got treated.2
Motivated by the fact that in the two-groups and two-periods design described above, DID
is equal to the treatment coefficient in a TWFE regression, researchers have also estimated
TWFE regressions in more complicated designs with many groups and periods, variation in
treatment timing, treatments switching on and off, and/or non-binary treatments. Recent
research has shown that in those more complicated designs, TWFE estimators are unbiased
for an ATE if parallel trends holds, and if another assumption is satisfied: the treatment effect
should be constant, between groups and over time. Unlike parallel trends, this assumption
is unlikely to hold, even approximately, in most of the applications where TWFE regressions
have been used. For instance, the effect of the minimum wage on employment is likely to
differ in counties with highly educated workers, and in counties with less educated workers.
The realization that one of the most commonly used empirical methods in social science
relies on an often-implausible assumption has spurred a flurry of methodological papers di-
agnosing the seriousness of the issue, and proposing alternative estimators. This review aims
1
Implicitly, this notation rules out dynamic treatment effects, and assumes that groups’ potential outcomes
only depend on their current treatment, not on their past treatments. This restriction is not of essence to
derive Equation (1.2) below, but it is of essence for some of the other results we cover, as noted later in the
paper. We relax it in Section 3.2.
2
Pre-trends tests come with caveats unveiled by a recent literature, see Kahn-Lang and Lang (2020), Bilinski
and Hatfield (2018), and Roth (2021). Similarly, recent papers have proposed relaxations of the parallel trends
assumption (see, e.g., Manski and Pepper, 2018; Rambachan and Roth, 2019; Freyaldenhoven et al., 2019).
Though we allude to it in Section 3.2, this literature is mostly beyond the scope of this survey. See Roth et al.
(2022) for a review.

2
to provide an overview of this recent literature, which has developed in such a quick and dy-
namic manner that some practitioners may have gotten lost in the whirlwind of new working
papers. We start by giving an overview of the papers that have identified TWFE’s regressions
lack of robustness to heterogeneous treatment effects, and that have proposed diagnostic tools
practitioners may use to assess the seriousness of this issue. We then give an overview of the
papers that have proposed alternative estimators robust to heterogeneous treatment effects.
Finally, we revisit Wolfers (2006a), a famous TWFE application, in light of the recent liter-
ature discussed in this survey. As a word of caution, note that this literature is very recent,
so several of the papers we review are still working papers, which have not been through the
peer-review process yet.
Table 2 in the conclusion summarizes the heterogeneity-robust estimators available to
applied researchers, depending on their research design. When available, the Stata and R
commands implementing the diagnostics tools and alternative estimators discussed in this
review are referenced, and the basic syntax of the Stata command is provided. We refer the
reader to the commands’ help files for further details on their syntax. Finally, the Stata code
for our re-analysis of Wolfers (2006a), where several of the estimators discussed in this survey
are computed, is available at:
https://drive.google.com/file/d/156Fu73avBvvV_H64wePm7eW04V0jEG3K/view?usp=sharing.

2 TWFE regressions with heterogeneous treatment effects

2.1 TWFE regressions may not identify a convex combination of treatment
effects
We consider a panel of G groups observed at T periods, respectively indexed by the placehold-
ers g and t, which can refer to any group or time period. Typically, groups are geographical
entities gathering many observations, but a group could also just be a single individual or
firm. Let βbf e denote the coefficient of Dg,t , the treatment in group g at period t, in an OLS
regression of Yg,t , the outcome of group g at period t, on group fixed effects, period fixed
effects, and Dg,t :
Yg,t = α
bg + γbt + βbf e Dg,t + ϵg,t , (2.1)
where ϵg,t denotes the regression residual. We assume that the regression is unweighted, but
it is sometimes weighted by Ng,t , the population of group g at period t. The results discussed
below also apply to this weighted regression, see de Chaisemartin and D’Haultfœuille (2020).3
de Chaisemartin and D’Haultfœuille (2020) show that under a parallel trends assumption
on the potential outcome without treatment Yg,t (0),
 
h i X
E βbf e = E  Wg,t T Eg,t  . (2.2)
(g,t):Dg,t ̸=0

3
The regression could also be estimated using more disaggregated outcome data. For instance, groups
may be US counties, and one may estimate the regression using individual-level outcome measures, assigning
group membership based on county of residence. This disaggregated regression is equivalent to the aggregated
regression in (2.1), provided Yg,t is defined as the average outcome of individuals in cell (g, t), and the aggregated
regression is weighted by the number of individuals in cell (g, t). Accordingly, the results below also apply to
disaggregated regressions, see de Chaisemartin and D’Haultfœuille (2020).

3
If the treatment is binary, T Eg,t = Yg,t (1) − Yg,t (0), the ATE in group g at time t. If the
treatment is discrete or continuous, T Eg,t = (Yg,t (Dg,t ) − Yg,t (0))/Dg,t , the effect of moving
the treatment from 0 to Dg,t scaled by Dg,t .4 The Wg,t are weights summing to 1, that are
proportional to and of the same sign as

Dg,t − Dg,. − D.,t + D.,. , (2.3)

where Dg,. is the average treatment of group g across periods, D.,t is the average treatment
at period t across groups, and D.,. is the average treatment across groups and periods.
Equations (2.2) and (2.3) have two important consequences. First, Wg,t is in general not
equal to one divided by the number of treated (g, t) cells, so βbf e may be biased for the average
treatment effect across those cells, the ATT. A special case where Wg,t is equal to one divided
by the number of treated (g, t) cells, and where βbf e is therefore unbiased for the ATT is
when (i) the design is staggered, meaning that groups’ treatment can only increase over time
and can change at most once;5 (ii) the treatment is binary; and (iii) there is no variation in
treatment timing: all treated groups start receiving the treatment at the same date. However,
conditions (i)-(iii) are seldom met in practice. βbf e can also be unbiased for the ATT if one
is ready to make more assumptions than just parallel trends. For instance, if one is also
ready to assume that Dg,t − Dg,. − D.,t + D.,. is uncorrelated with T Eg,t , the treatment effects
that are up- and down-weighted by βbf e do not systematically differ, and one can then show
that βbf e is unbiased for the ATT (see Corollary 2 in de Chaisemartin and D’Haultfœuille,
2020).6 Unfortunately, this no-correlation condition is often implausible. To see this, note that
Dg,t − Dg,. − D.,t + D.,. is decreasing in Dg,. , meaning that βbf e downweights the treatment
effect of groups with the highest average treatment from period 1 to T . However, groups
with the largest and lowest average treatment may have systematically different treatment
effects. Similarly, Dg,t − Dg,. − D.,t + D.,. is decreasing in D.,t , and the treatment effects
at time periods with the highest average treatment may also systematically differ from the
treatment effects at time periods where the average treatment is lower. In staggered adoption
designs, D.,t is increasing in t so the weights are decreasing in t. If the treatment effect is
also monotonically increasing or decreasing in t, this no-correlation condition will fail. This
no-correlation condition is partly testable, if one observes a proxy variable Pg,t that is likely
to be correlated with T Eg,t . Then, one can just test if Dg,t − Dg,. − D.,t + D.,. is correlated
with Pg,t .
Second, and perhaps more worryingly, Equation (2.3) implies that some of the weights Wg,t
may be negative. This means that in the minimum wage example, βbf e could be estimating
something like 3 times the effect of the minimum wage on employment in Santa Clara county,
minus 2 times the effect in Wayne county. Then, if raising the minimum wage by one dollar
4
de Chaisemartin and D’Haultfœuille (2020) derive Equation (2.2) assuming that groups’ potential outcomes
only depend on their current treatment, not on their past treatments. With dynamic effects, Equation (2.2)
still holds if the treatment is binary and staggered, except that some of the T Eg,t s become effects of having
been treated for more than one period.
5
Together, (i) and (ii) imply that groups can only switch from untreated to treated, and may do so at
different points in time. This is probably the definition of a staggered design many people have in mind. (i)
extends the definition of a staggered design to non-binary treatments.
6
A special case of this “no-correlation” condition is if thehtreatment
i effect is constant, i.e. T Eg,t = δ for all
(g, t). Then, it directly follows from Equation (2.2) that E βbf e = δ. However, constant effect is most often
an implausible assumption.

4
decreases
h employment
i by 5% in Santa Clara county
h and
i by 20% in Wayne county, one would
have E βf e = 3 × −0.05 − (2 × −0.2) = 0.25. E βf e would be positive, while the minimum
b b
wage’s effect on employment is negative both in Santa Clara and in Wayneh county. i This
example shows that βf e may not satisfy the “no-sign reversal property”: E βf e could for
b b
instance be positive, even if the treatment effect is strictly negative in every (g, t). This
phenomenon can only arise when some of the weights Wg,t are negative: when all those weights
are positive, βbf e does satisfy the no-sign reversal property. Note that despite its intuitive
appeal and its popularity among applied researchers, the no-sign reversal property is not
grounded in statistical decision theory, unlike other commonly-used criteria to discriminate
estimators such as the mean-squared error. Still, it is connected to the economic concept
of Pareto efficiency. If an estimator satisfies “no-sign-reversal”, the estimand attached to it
can only be positive if the treatment is not Pareto-dominated by the absence of treatment,
meaning that not everybody is hurt by the treatment. Conversely, the estimand can only be
negative if the treatment does not Pareto-dominate the absence of treatment. On the other
hand, if an estimator does not satisfy “no-sign-reversal”, the estimand attached to it could
for instance be positive, even if the treatment is Pareto-dominated.
Inasmuch as “no-sign-reversal” is a desirable property, it becomes interesting to under-
stand when βbf e may satisfy it. Equation (2.3) shows that with a binary treatment, the weights
attached to βbf e could all be positive. With a binary treatment, all the (g, t)s entering the
summation in (2.2) must have Dg,t = 1, so for a weight Wg,t to be strictly negative, one must
have 1 + D.,. < Dg,. + D.,t . This cannot happen if Dg,. + D.,t ≤ 1 for every (g, t). Accordingly,
all the weights are likely to be positive when there is no group that is treated most of the
time, and no time periods where most groups are treated. In staggered designs, this has led
Jakiela (2021) to propose to drop the last periods of the data, those when D.,t is the highest,
to mitigate or eliminate the negative weights. One could also drop the always-treated groups,
if there are any.
On the other hand, Equation (2.3) shows that with a non-binary treatment, it becomes
more likely that some of the weights Wg,t are negative. Gentzkow et al. (2011) study the
effect of the number of newspapers in county g and year t on turnout in presidential elections.
Assume that in year t, county g has 1 newspaper (Dg,t = 1), which is below its average
number of newspapers across years, equal, say, to 2 (Dg,. = 2). At the same time, the average
number of newspapers across counties in year t is equal to 2 (D.,t = 2), which is above the
average number of newspapers across all counties and years, equal, say, to 1 (D.,. = 1). Then,
it follows from (2.3) that the weight assigned to the effect of newspapers in county g and
year t is strictly negative. More generally, a necessary condition to have that all weights are
positive is that in every period where the population’s treatment is higher than its average
across periods (D.,t ≥ D.,. ), the treatment of each treated group must also be larger than its
average across periods (Dg,t ≥ Dg,. for all gs such that Dg,t ̸= 0). This condition is likely to
often fail.
The twowayfeweights Stata (see de Chaisemartin et al., 2019) and R (see Zhang and
de Chaisemartin, 2021) commands compute the weights Wg,t in (2.2). The basic syntax of
the Stata command is:
twowayfeweights outcome groupid timeid treatment, type(feTR)
A decomposition similar to (2.2) can be obtained for TWFE regressions with control vari-

5
ables, and for βbf d , the treatment’s coefficient in a regression of the outcome’s first difference on
the treatment’s first difference and period fixed effects. de Chaisemartin and D’Haultfœuille
(2020) also derive decompositions similar to (2.2), for βbf e and βbf d , under common trends and
under the assumption that the treatment effect does not change over time. The weights in all
those decompositions are also computed by the twowayfeweights Stata and R commands.
de Chaisemartin and D’Haultfœuille (2020) use the twowayfeweights Stata command to
revisit Gentzkow et al. (2011). The authors regress the change in turnout in county g between
two elections on the change of the county’s number of newspapers and state-year fixed effects.
They find that βbf d = 0.0026 (s.e. = 0.0009): one more newspaper increases turnout by
0.26 percentage points. Using the twowayfeweights Stata package, de Chaisemartin and
D’Haultfœuille (2020) find that under parallel trends, βbf d estimates a weighted sum of the
effects of newspapers on turnout in 10,077 county×election cells, where 5,472 effects are
weighted positively while 4,605 are weighted negatively, and where negative weights sum to
-1.43. Accordingly, βbf d is far from estimating a convex combination of effects. The weights
are negatively correlated with the election year: βbf d is more likely to upweight newspapers’
effects in early elections, and to downweight or weight negatively newspapers’ effects in late
elections. This may lead βbf d to be biased if newspapers’ effects change over time. Similar
results apply to βbf e : more than half of the weights attached to that coefficient are negative,
and negative weights sum to -0.53.
The decomposition in (2.2) is the main result in de Chaisemartin and D’Haultfœuille
(2020). Related results have appeared earlier in Theorems S1 and S2 of the Supplementary
Material of de Chaisemartin and D’Haultfœuille (2015). Borusyak and Jaravel (2017) con-
sider the case with a binary and staggered treatment. In their Lemma 1 and Proposition 1,
they assume that the treatment effect varies with the duration elapsed since one has started
receiving the treatment but does not vary across groups and over time. Then, they show
that βbf e estimates a weighted sum of effects, that may assign negative weights to long-run
treatment effects. Their Appendix C also contains another result related to that in Equation
(2.2).7

2.2 The origin of the problem: “forbidden comparisons”

2.2.1 Forbidden comparisons when the treatment is binary and the design is
staggered
Goodman-Bacon (2021) shows that when the treatment is binary and the design is staggered,
meaning that groups can switch in but not out of treatment, we have
X
βbf e = vg,g′ ,t,t′ DIDg,g′ ,t,t′ , (2.4)
g̸=g ′ ,t<t′

where DIDg,g′ ,t,t′ is a DID comparing the outcome evolution of two groups g and g ′ from a
pre period t to a post period t′ , and where vg,g′ ,t,t′ are non-negative weights summing to one,
7
Prior to that, Chernozhukov et al. (2013) had shown that one-way FE regressions may be biased for
the average treatment effect, though unlike TWFE regressions they always estimate a convex combination of
effects.

6
with vg,g′ ,t,t′ > 0 if and only if g switches treatment between t and t′ while g ′ does not.8 Some
of the DIDg,g′ ,t,t′ s in Equation (2.4) compare a group switching treatment from t to t′ to a
group untreated at both dates, while other DIDg,g′ ,t,t′ s compare a switching group to a group
treated at both dates. The negative weights in (2.2) originate from this second type of DIDs.
To see that, let us consider a simple example, first introduced by Borusyak and Jaravel
(2017),9 with two groups and three periods. Group e, the early-treated group, is untreated
at period 1 and treated at periods 2 and 3. Group ℓ, the late-treated group, is untreated at
periods 1 and 2 and treated at period 3. In this example, Equation (2.4) reduces to

βbf e = (DIDe,ℓ,1,2 + DIDℓ,e,2,3 )/2, (2.5)

with

DIDe,ℓ,1,2 = Ye,2 − Ye,1 − (Yℓ,2 − Yℓ,1 ) ,

DIDℓ,e,2,3 = Yℓ,3 − Yℓ,2 − (Ye,3 − Ye,2 ) .

DIDe,ℓ,1,2 compares the period-1-to-2 outcome evolution of group e, that switches from un-
treated to treated from period 1 to 2, to the outcome evolution of group ℓ that is untreated at
both periods. DIDe,ℓ,1,2 is similar to the DID estimator in Equation (1.1), and under parallel
trends it is unbiased for the treatment effect in group e at period 2:

E [DIDe,ℓ,1,2 ] = E [T Ee,2 ] . (2.6)

DIDℓ,e,2,3 , on the other hand, compares the period-2-to-3 outcome evolution of group ℓ, that
switches from untreated to treated from period 2 to 3, to the outcome evolution of group e
that is treated at both dates. At both periods, e’s outcome is its treated potential outcome,
which is equal to the sum of its untreated outcome and its treatment effect. Accordingly,

Ye,3 − Ye,2 = Ye,3 (0) + T Ee,3 − (Ye,2 (0) + T Ee,2 ).

On the other hand, group ℓ is only treated at period 3, so

Yℓ,3 − Yℓ,2 = Yℓ,3 (0) + T Eℓ,3 − Yℓ,2 (0).

Taking the expectation of the difference between the two previous equations,

E [DIDℓ,e,2,3 ] = E [T Eℓ,3 − T Ee,3 + T Ee,2 ] , (2.7)

where E [Ye,3 (0) − Ye,2 (0)] and E [Yℓ,3 (0) − Yℓ,2 (0)] cancel out under the parallel trends as-
sumption. Finally, it follows from Equations (2.5), (2.6), and (2.7) that
h i
E βbf e = E [1/2T Eℓ,3 + T Ee,2 − 1/2T Ee,3 ] . (2.8)

In this simple example, Equation (2.2) reduces to (2.8). The right-hand side of Equation (2.8)
is a weighted sum of three ATEs where one ATE receives a negative weight. As the previous
8
Goodman-Bacon (2021) actually decomposes βbf e as a weighted average of DIDs between cohorts of groups
becoming treated at the same date, and between periods of time where their treatment remains constant. One
can then further decompose his decomposition, as we do here.
9
Borusyak and Jaravel (2017) have also coined the “forbidden comparisons” expression we borrow here.

7
derivation shows, this negative weight comes from the fact βbf e leverages DIDℓ,e,2,3 , a DID
comparing a group switching from untreated to treated to a group treated at both periods.
To make things more concrete, Figure 1 below shows the actual and counterfactual out-
come evolution, in a numerical example with three periods and an early and a late treated
group. All treatment effects are positive: the actual outcomes, on the solid lines, are always
above the counterfactual outcomes on the dashed lines. However, βbf e is negative. βbf e is the
simple average of the DID comparing the early- to the late-treated group from period one to
two, which is positive, and of the DID comparing the late- to the early-treated group from
period two to three, which is negative, and larger in absolute value than the first DID. The
reason why the second DID is negative is that the treatment effect of the early-treated group
increases substantially from period two to three, so this group’s outcome increases more than
that of the late-treated group.

Figure 1: A numerical example with three periods, an early and a late

treated group

Early Late
becomes becomes
treated treated

1 2 3
t

Y early Y(0) early Y late Y(0) late

If one is ready to assume that the treatment effect does not change over time, T Ee,3 =
T Ee,2 , and (2.7) simplifies to
E [DIDℓ,e,2,3 ] = E [T Eℓ,3 ] . (2.9)
Then, the negative weight in (2.7) disappears, and βbf e estimates a weighted average of treat-
ment effects. This extends beyond this simple example: Theorem S2 of the Web Appendix
of de Chaisemartin and D’Haultfœuille (2020) and Equation (16) of Goodman-Bacon (2021)
show that in staggered adoption designs with a binary treatment, βbf e estimates a convex
combination of effects, if the treatment effect does not change over time but may still vary
across groups. This conclusion, however, no longer holds if the treatment is not binary or
the design is not staggered. Moreover, assuming constant treatment effects over time is often
implausible as this rules out both dynamic treatment effects and calendar time effects.
The decomposition in Equation (2.4) is key to understand why βbf e may not identify a
convex combination of treatment effects. On the other hand, it cannot be used to assess if

8
βbf e does indeed estimate a convex combination of effects in a given application. Consider an
example similar to that above, but with a third group n that remains untreated from period
1 to 3. In this second example, the decomposition in (2.4) now indicates that βbf e assigns a
weight equal to 1/6 to DIDs comparing a switcher to a group treated at both periods. On the
other hand, all the weights in (2.2) are positive in this second example. This phenomenon can
also arise in real data sets. In the data of Stevenson and Wolfers (2006) used by Goodman-
Bacon (2021) in his empirical application, if one restricts the sample to states that are not
always treated and to the first ten years of the panel, all the weights in (2.2) are positive,
but the sum of the weights in (2.4) on DIDs comparing a switcher to a group treated at both
periods is equal to 0.06. Beyond these examples, one can show that having DIDs comparing
a switcher to a group treated at both periods in (2.4) is necessary but not sufficient to have
negative weights in (2.2). Similarly, the sum of the weights on DIDs comparing a switcher
to a group treated at both periods in (2.4) is always larger than the absolute value of the
sum of the negative weights in (2.2). The reason why Equation (2.4) “overestimates” the
negative weights in (2.2) is that as soon as there are three distinct treatment dates, there is
not a unique way of decomposing βbf e as a weighted average of DIDs, and there exists other
decompositions than Equation (2.4) putting less weight on DIDs using a group treated at
both periods as the control group.10
The bacondecomp Stata (see Goodman-Bacon et al., 2019) and R (see Flack and Edward,
2020) commands compute the DIDg,g′ ,t,t′ s entering in (2.4), the weights assigned to them, as
well as the sum of the weights on DIDg,g′ ,t,t′ s using a group treated at both periods as the
control group. The basic syntax of the bacondecomp Stata command is:
bacondecomp outcome treatment, ddetail

2.2.2 “Forbidden comparisons” when the design is not staggered or treatment

is not binary
When the treatment is not staggered or when it is not binary, βbf e may leverage another type
of comparison: it may compare the outcome evolution of a group m whose treatment increases
more to the outcome evolution of a group ℓ whose treatment increases less. In fact, with two
groups m and ℓ and two periods, one can show that
Ym,2 − Ym,1 − (Yℓ,2 − Yℓ,1 )
βbf e = , (2.12)
Dm,2 − Dm,1 − (Dℓ,2 − Dℓ,1 )
10
To see that, let t0 < t1 < t2 be three dates, let e be an early-treated group becoming treated at t1 ,
let ℓ be a late-treated group becoming treated at t2 , and let n be a group untreated yet at t2 . Let v =
min(vℓ,e,t1 ,t2 , ve,n,t0 ,t2 ) > 0. One has

DIDℓ,e,t1 ,t2 = DIDℓ,n,t0 ,t2 − DIDe,n,t0 ,t2 + DIDe,ℓ,t0 ,t1 . (2.10)

Then, it follows from Equation (2.10) that

vℓ,e,t1 ,t2 DIDℓ,e,t1 ,t2 + ve,n,t0 ,t2 DIDe,n,t0 ,t2

=(vℓ,e,t1 ,t2 − v)DIDℓ,e,t1 ,t2 + vDIDℓ,n,t0 ,t2 + vDIDe,ℓ,t0 ,t1 + (ve,n,t0 ,t2 − v)DIDe,n,t0 ,t2 . (2.11)

Plugging Equation (2.11) into Equation (2.4) will yield a different decomposition of βbf e as a weighted average
of DIDs. But the weight on DIDs using a group treated at both periods as the control group is equal to vℓ,e,t1 ,t2
in the left-hand-side of Equation (2.11), and to (vℓ,e,t1 ,t2 − v) in its right-hand side. Accordingly, this new
decomposition puts strictly less weight than Equation (2.4) on DIDs using a group treated at both periods as
the control group.

9
where the right hand side of the previous display is the Wald-DID estimator studied by
de Chaisemartin and D’Haultfœuille (2018). The Wald-DID compares the outcome evolution
of groups m and ℓ, and scales that comparison by the differential evolution of m’s and ℓ’s
treatments. de Chaisemartin and D’Haultfœuille (2018) show that the Wald-DID may not
estimate a convex combination of effects, unless the treatment effect is constant over time
and is the same in groups m and ℓ. This second requirement was not present in the binary
and staggered case. In that case, we have seen before that if the treatment effect is constant
over time, βbf e estimates a convex combination of effects, even if the treatment effect varies
between groups.
To see that with a non-binary or non-staggered treatment βbf e may not estimate a convex
combination of effects even if the treatment effect is constant over time, let us consider a
simple example. Assume that group m goes from 0 to 2 units of treatment from period 1 to
2, while group ℓ goes from 0 to 1 unit. Then, the denominator of the Wald-DID is equal to
2 − 0 − (1 − 0) = 1, so
βbf e = Ym,2 − Ym,1 − (Yℓ,2 − Yℓ,1 ) .
To simplify, let us also assume that in both groups, potential outcomes are linear in the
number of treatment units, with slopes that are constant over time but may differ for groups
m and ℓ:

Ym,t (d) =Ym,t (0) + δm d

Yℓ,t (d) =Ym,t (0) + δℓ d.

Then, under parallel trends,

h i
E βbf e =E [Ym,2 (2) − Ym,1 (0) − (Yℓ,2 (1) − Yℓ,1 (0))]
=E [Ym,2 (0) + 2δm − Ym,1 (0) − (Yℓ,2 (0) + δℓ − Yℓ,1 (0))]
=E [Ym,2 (0) − Ym,1 (0)] − E [Yℓ,2 (0) − Yℓ,1 (0)] + 2δm − δℓ
=2δm − δℓ ,

a weighted sum of m and ℓ’s treatment effects, where group ℓ’s effect is weighted negatively.
Intuitively, group ℓ is also treated at period two, and βbf e , which uses ℓ as a control group,
subtracts its treatment effect out. This example also shows that βbf e may fail to identify a
convex combination of effects, even without variation in treatment timing: here, both m and
ℓ start getting treated at period 2.
To make things more concrete, Figure 2 below shows the actual and counterfactual out-
come evolution, in a numerical example with two periods, a group whose treatment increases
more, from 0 to 2 units, and a group whose treatment increases less, from 0 to 1 unit. All
treatment effects are positive: the actual outcomes, on the solid lines, are always above the
counterfactual outcomes on the dashed lines. However, βbf e , which is equal to the DID com-
paring the more- and the less-treated groups from period one to two, is negative. The reason
why this DID is negative is that the treatment effect, per treatment unit, of the less-treated
group is more than twice larger than the treatment effect of the more-treated group. Accord-
ingly, the outcome of the less-treated group increases more, despite the fact that this group
receives a twice smaller treatment dose in period 2.

10
 Figure 2: A numerical example with two periods, a more- and a less-treated
group

t
1 2

Y more Y(0) more Y less Y(0) less

2.3 Decomposition results for other TWFE regression coefficients

2.3.1 Dynamic TWFE regressions
In staggered designs with a binary treatment, Sun and Abraham (2021) consider event-study
regressions:
L
X
Yg,t = γbg + λ
bt + βbℓ 1{Fg = t − ℓ} + εg,t , (2.13)
ℓ=−K,ℓ̸=−1

where Fg is the first period at which group g is treated. In words, the outcome is regressed
on group and period fixed effects, and relative-time indicators 1{Fg = t − ℓ} equal to 1 if
group g started receiving the treatment ℓ periods ago. For ℓ ≥ 0, βbℓ is supposed to estimate
the cumulative effect of ℓ + 1 treatment periods. For ℓ ≤ −2, βbℓ is supposed to be a placebo
coefficient testing the parallel trends assumption, by comparing the outcome trends of groups
that will and will not start receiving the treatment in |ℓ| periods. Researchers have sometimes
estimated a variant of this regression, where the first and last indicators 1{Fg = t + K} and
1{Fg = t − L} are respectively replaced by an indicator for being at least K periods away
from adoption (1{Fg ≥ t + K}) and an indicator for having adopted at least L periods ago
(1{Fg ≤ t − L}). Such endpoint binning is for instance recommended by Schmidheiny and
Siegloch (2020): without it, the regression implicitly assumes that the treatment no longer
has any effect after L periods. Instead, with endpoint binning the regression assumes that
that the treatment effect is constant after L periods, a more plausible assumption.
Sun and Abraham (2021) show that under parallel trends, for ℓ ≥ 0,
 
h i
wg,ℓ′ T Eg (ℓ′ ) ,
X XX
E βbℓ = E  wg,ℓ T Eg (ℓ) + (2.14)
g ℓ′ ̸=ℓ g

11
where T Eg (ℓ) is the cumulative effect of ℓ + 1 treatment periods in group g, and wg,ℓ and
wg,ℓ′ are weights such that g wg,ℓ = 1 and g wg,ℓ′ = 0 for every ℓ′ .11 The first summation
P P

in the right-hand side of Equation (2.14) is a weighted sum across groups of the cumulative
effect of ℓ + 1 treatment periods, with weights summing to 1 but that may be negative. This
first summation resembles that in the decomposition of the “static” TWFE coefficient in
(2.2), and it implies that βbℓ may be biased if the cumulative effect of ℓ + 1 treatment periods
varies across groups. The second summation is a weighted sum, across ℓ′ ̸= ℓ and groups,
of the cumulative effect of ℓ′ + 1 treatment periods in group g, with weights summing to 0.
This second summation was not present in the decomposition of the static TWFE coefficient.
Importantly, its presence implies that βbℓ , which is supposed to estimate the cumulative effect
of ℓ + 1 treatment periods, may in fact be contaminated by the effects of ℓ′ + 1 treatment
periods. As g wg,ℓ′ = 0 for every ℓ′ , this second summation disappears if T Eg (ℓ′ ) does not
P

vary across groups, but it is often implausible that the treatment effect does not vary across
groups.
For ℓ ≤ −2, and without assuming parallel trends, Sun and Abraham (2021) show that βbℓ
estimates the sum of two terms. As intended, the first term measures deviations from parallel
trends between groups that will and will not start receiving the treatment in |ℓ| periods. But
the second term is similar to the second summation in the right-hand side of Equation (2.14):
a weighted sum, across ℓ′ ≥ 0 and groups, of the cumulative effect of ℓ′ + 1 treatment periods
in group g, with weights summing to zero. Due to the presence of this second term, the
expectation of βbℓ may differ from zero even if parallel trends holds, and it may be equal to
zero even if parallel trends fails. Thus, an important consequence of the results in Sun and
Abraham (2021) is that in the presence of heterogeneous treatment effects, (2.13) cannot be
used to test for parallel trends.
The eventstudyweights Stata command (see Sun, 2020) computes the weights attached
to event-study regressions. Its basic syntax is:
eventstudyweights {rel_time_list}, absorb(i.groupid i.timeid)
cohort(first_treatment) rel_time(ry),
where rel_time_list is the list of relative-time indicators 1{Fg = t − ℓ} included in
(2.13), first_treatment is a variable equal to the period when group g got treated for the
first time, and ry is a variable equal to timeid minus first_treatment, the number of
periods elapsed since group g started receiving the treatment.
Event-study regressions can only be used in staggered designs with a binary treatment.
In more complicated designs where the treatment is not binary or a group’s treatment can
increase or decrease multiple times, some researchers have estimated TWFE regressions of
the outcome on the treatment and its first K lags, the so-called distributed-lag regression.
Other researchers have estimated a panel-data version of the local-projection method pro-
posed by Jordà (2005) for time-series data: Yg,t+ℓ is regressed on group and period FEs and
Dg,t , for ℓ ∈ {0, ..., K}. de Chaisemartin and D’Haultfœuille (2021a) show that those re-
gressions suffer from similar issues as the event-study regression: under parallel trends, the
11
Equation (2.14) follows from Proposition 3 in Sun and Abraham (2021), assuming no binning and that the
treatment does not have an effect after L + 1 periods of exposure. A slight difference is that the decomposition
in Sun and Abraham (2021) gathers groups that started receiving the treatment at the same period into
cohorts. Their decomposition can then be further decomposed, as we do here.

12
distributed-lag and local-projection regressions may produce biased estimates of the treat-
ment’s instantaneous and dynamic effects, if effects are heterogeneous across groups and over
time. In particular, they do not satisfy the no-sign reversal property: one could have that
the treatment’s instantaneous and dynamic effects are positive in every (g, t) cell, but the ex-
pectations of those regression coefficients are negative. de Chaisemartin and D’Haultfœuille
(2021a) also show that the panel-data version of the local-projection method may yield biased
estimates even if effects are homogeneous.

2.3.2 TWFE regressions with more than one treatment

Another case of interest is TWFE regressions with several treatments. For instance, to
estimate separately the effect of medical and recreational marijuana laws on consumption,
one may regress marijuana consumption in state g and year t on state and year fixed effects,
on whether state g has a recreational marijuana law in year t, and on whether state g has
a medical law in year t. de Chaisemartin and D’Haultfœuille (2021b) show that in those
regressions, the coefficient on a given treatment identifies a weighted sum of that treatment’s
effect across (g, t)s, with weights summing to 1 but that may be negative, plus weighted sums
of the effects of the other treatments in the regression, with weights summing to 0. In the
example above, the coefficient on recreational laws may be contaminated by the effect of
medical laws. The weights attached to TWFE regressions with several treatments are also
computed by the twowayfeweights Stata and R commands.

3 Alternative heterogeneity-robust DID estimators

In this section, we review several recently-proposed alternatives to TWFE regressions. We
restrict our attention to estimators relying on parallel trends assumptions, like TWFE regres-
sions, but that do not restrict treatment effect heterogeneity between groups and over time,
unlike TWFE regressions. This excludes papers that have assumed randomized treatment
timing (see, e.g., Athey and Imbens, 2022; Roth and Sant’Anna, 2021) or sequential treat-
ment randomization (see, e.g., Bojinov et al., 2021), rather than parallel trends. Intuitively,
all the estimators below carefully choose valid control groups, to avoid making the “forbidden
comparisons” that render TWFE estimators non-robust to heterogeneous treatment effects.
We start by reviewing estimators ruling out dynamic effects, i.e. that assume that a group’s
current outcome only depends on its current treatment, before reviewing estimators that al-
low dynamic effects. In complicated designs, say with a continuous treatment that changes
often, allowing for dynamic effects comes with a number of costs: it may result in imprecise
estimators, and may complicate the interpretation of the estimated effects. Then, one may
want to carefully evaluate if past treatments are indeed likely to affect the current outcome.

3.1 Estimators ruling out dynamic effects

With a binary treatment, de Chaisemartin and D’Haultfœuille (2020) propose to use the
DIDM estimator. With two time periods, DIDM is merely a weighted average of
1 X 1 X
DID+ = (Yg,2 − Yg,1 ) − (Yg,2 − Yg,1 ),
N0,1 g:Dg,1 =0,Dg,2 =1
N0,0 g:Dg,1 =0,Dg,2 =0

13
and of
1 X 1 X
DID− = (Yg,2 − Yg,1 ) − (Yg,2 − Yg,1 ),
N1,1 g:Dg,1 =1,Dg,2 =1
N1,0 g:Dg,1 =1,Dg,2 =0

where for all (d1 , d2 ) ∈ {0, 1}2 , Nd1 ,d2 denotes the number of groups such that Dg,1 = d1 and
Dg,2 = d2 .12 DID+ is a DID comparing the period-one-to-two outcome evolution of groups
going from untreated to treated, the “switchers in”, and of groups untreated at both dates. It
is similar to the DID estimator in Equation (1.1), and it is unbiased for the treatment effect
of the switching-in groups at period 2, under a parallel trends assumption on the untreated
outcome Yg,t (0). DID− is a DID comparing the period-one-to-two outcome evolution of groups
treated at both dates, and of groups going from treated to untreated, the “switchers out”.
DID− is also similar to the DID estimator in Equation (1.1), switching “treatment” and
“non-treatment”. Then, one can show that DID− is unbiased for the treatment effect of the
switching-out groups at period 2, under a parallel trends assumption on the treated outcome
Yg,t (1).
The DIDM estimator can easily be extended to applications with more than two time
periods. For each pair of consecutive time periods, one can compute a DID+,t estimator
comparing groups going from untreated to treated from t − 1 to t to groups untreated at both
dates, and a DID−,t estimator comparing groups treated at t − 1 and t to groups going from
treated to untreated from t − 1 to t. Then, one averages the DID+,t and DID−,t estimators
across t. de Chaisemartin and D’Haultfœuille (2020) show that the resulting estimator is
unbiased for the average treatment effect across all switching (g, t) cells, namely cells such that
Dg,t ̸= Dg,t−1 . They also propose placebo estimators to test the parallel trends assumptions
underlying DIDM . The placebos compare the outcome trends of switchers and non-switchers,
before the switchers switch.
With more than two time periods, the DIDM estimator may be biased if the treatment
has dynamic effects. For instance, to infer the counterfactual trend that groups going from
untreated to treated from t − 1 to t would have experienced without that switch, DID+,t uses
as controls all groups untreated at t − 1 and t. However, some of those groups may have been
treated, say, at t − 2. If the treatment has dynamic effects, this past treatment may affect
their period t − 1-to-t outcome evolution, thus making them potentially invalid controls. Note
that if the treatment is binary and staggered, such situations cannot arise: groups untreated
at t − 1 and t have been untreated all along. Accordingly, DIDM is robust to dynamic effects
in binary and staggered designs.
The DIDM estimator can easily be extended to non-binary treatments taking a finite
number of values. Then, it is a weighted average, across d and t, of DIDs comparing the t − 1
to t outcome evolution of groups whose treatment goes from d to some other value from t − 1
to t, and of groups with a treatment equal to d at both dates, normalized by the intensity of
the treatment change experienced by the switchers. For instance, in Gentzkow et al. (2011), a
county going from 2 to 4 newspapers is compared to a county with 2 newspapers at both dates.
The multi-period DID estimator in Imai and Kim (2021) is related to the DIDM estimator.
It can be used with a binary treatment, to estimate the switchers-in’s treatment effect.
12
Implicitly, this definition of DID+ and DID− assumes that all groups have the same sizes. The DIDM
estimator can easily be extended to instances where groups have heterogeneous sizes, see de Chaisemartin and
D’Haultfœuille (2020).

14
 The DIDM estimator is computed by the did_multiplegt Stata (see de Chaisemartin
et al., 2019) and R (see Zhang and de Chaisemartin, 2020) commands. The basic syntax of
the Stata command is:
did_multiplegt outcome groupid timeid treatment
de Chaisemartin and D’Haultfœuille (2020) compute the DIDM estimator in the Gentzkow
et al. (2011) example mentioned above, that studies the effect of newspapers on turnout in US
presidential elections. de Chaisemartin and D’Haultfœuille (2020) find that DIDM = 0.0043
(s.e. = 0.0014), meaning that one more newspaper increases turnout by 0.43 percentage
point. DIDM is 66% larger than, and significantly different from, βbf d , the estimator reported
by Gentzkow et al. (2011).
de Chaisemartin et al. (2022) extend the DIDM estimator to continuous treatments. To
simplify, we present their estimators in the case with two time periods, though they readily
extend to the case with more periods. de Chaisemartin et al. (2022) assume that from
period one to two, the treatment of some units, hereafter referred to as the movers, changes.
They also assume that the treatment of other units, hereafter referred to as the stayers,
does not change. This assumption is likely to be met when the treatment is say, trade
tariffs: tariffs’ reforms rarely apply to all products, so it is likely that tariffs of at least some
products stay constant over time. On the other hand, this assumption is unlikely to be met
when the treatment is say, precipitations: geographical units never experience the exact same
precipitations over two consecutive years.
Under the assumption that there are some stayers, the estimator proposed by de Chaise-
martin et al. (2022) compares the outcome evolution of movers and stayers, with the same
period-one treatment. With a continuous treatment, such comparisons can either be achieved
by reweigthing stayers by propensity score weights, or by adjusting movers’ outcome change
using a nonparametric regression of the outcome change on the period-one treatment among
the stayers. Under parallel trends assumptions, the corresponding estimands identify a
weighted average of the effect, across all movers, of moving their treatment from its period-
one to its period-two value, scaled by the difference between these two values. This effect
is a weighted average of the slopes of movers’ potential outcome function, between their
period-one and period-two treatments.
The estimators in de Chaisemartin et al. (2022) can be extended to the case where there are
no stayers, provided there are quasi-stayers, meaning units whose treatment barely changes
from period one to two. Alternatively, one could also use the estimator proposed by Graham
and Powell (2012), which compares the outcome evolution of movers and quasi stayers, but
without conditioning on units’ period-one treatment. Their estimator relies on a linear treat-
ment effect assumption, unlike those in de Chaisemartin et al. (2022). When there are no true
stayers, both estimators require choosing a bandwidth, namely the lowest treatment change
below which a unit can be considered as a quasi-stayer. Neither de Chaisemartin et al. (2022)
or Graham and Powell (2012) derive an “optimal” bandwidth, so for now bandwidth choice
is left to the discretion of the researcher. If the data has at least three periods, one could
also use the correlated-random-coefficient estimator proposed by Chamberlain (1992). While
it allows for some treatment effect heterogeneity, that estimator relies on a linear treatment
effect assumption, like the estimator in Graham and Powell (2012).
de Chaisemartin et al. (2022) show that after some relabelling, some of their estimators are
equivalent or nearly equivalent to estimators that had been previously proposed by de Chaise-

15
martin and D’Haultfœuille (2018), Abadie (2005), and Callaway and Sant’Anna (2021). This
implies that their estimators can be computed, up to small tweaks, by the companion software
for those papers. We refer the reader to de Chaisemartin et al. (2022) for a precise description
of how their estimators can be computed using existing software.

3.2 Estimators allowing for dynamic effects when the treatment is binary
and the design is staggered.
For any t ∈ {1, ..., T }, let 0t (resp. 1t ) denote a vectors of t zeros (resp. ones). With dynamic
effects, group g’s outcome at time t is allowed to depend on her past treatments. For any
(d1 , ..., dt ), let Yg,t (d1 , ..., dt ) denote group g’s potential outcome at period t with treatments
(d1 , ..., dt ) from period 1 to t.13 In particular, Yg,t (0t ) is group g’s outcome without ever being
treated from period 1 to t. With dynamic effects, Callaway and Sant’Anna (2021) and Sun
and Abraham (2021) have proposed to replace the parallel trends assumption on Yg,t (0) by a
parallel trends assumption on Yg,t (0t ): for all g ̸= g ′ and t ≥ 2,
 
E [Yg,t (0t ) − Yg,t−1 (0t−1 )] = E Yg′ ,t (0t ) − Yg′ ,t−1 (0t−1 ) . (3.1)
We now review the estimators proposed by Callaway and Sant’Anna (2021), Sun and Abraham
(2021), and Borusyak et al. (2021) for binary and staggered treatments, under the parallel
trends assumption in Equation (3.1).

3.2.1 The estimators proposed by Callaway and Sant’Anna (2021)

In a staggered adoption design, groups can be aggregated into cohorts that start receiving
the treatment at the same period. For all c and t, and for all ℓ ∈ {0, ..., t} let Y c,t denote
the average outcome at period t across groups belonging to cohort c, and let Y n,t denote
the average outcome at period t across groups that remain untreated from period 1 to T ,
hereafter referred to as the never-treated groups, assuming for now that such groups exist.
Callaway and Sant’Anna (2021) define their parameters of interest as
h i
T Ec,c+ℓ = E Y c,c+ℓ (0c−1 , 1ℓ+1 ) − Y c,c+ℓ (0c+ℓ ) ,

the average effect of having been treated for ℓ + 1 periods in the cohort that started receiving
the treatment at period c, for every c ∈ {2, ..., T } and ℓ ≥ 0 such that ℓ + c ≤ T . To estimate,
say, T Ec,c , Callaway and Sant’Anna (2021) propose
 
DIDc,0 = Y c,c − Y c,c−1 − Y n,c − Y n,c−1 ,

a DID estimator comparing the period c − 1-to-c outcome evolution in cohort c and in the
never-treated groups n. DIDc,0 is unbiased for T Ec,c :
h  i
E Y c,c − Y c,c−1 − Y n,c − Y n,c−1
h  i
=E Y c,c (0c−1 , 1) − Y c,c−1 (0c−1 ) − Y n,c (0c ) − Y n,c−1 (0c−1 )
h i h  i
=E Y c,c (0c−1 , 1) − Y c,c (0c ) + E Y c,c (0c ) − Y c,c−1 (0c−1 ) − Y n,c (0c ) − Y n,c−1 (0c−1 )
h i
=E Y c,c (0c−1 , 1) − Y c,c (0c ) ,
13
This notation implicitly rules out anticipation effects: the outcome cannot depend on a group’s future
treatment.

16
where the last equality follows from Equation (3.1). More generally, to estimate T Ec,c+ℓ ,
Callaway and Sant’Anna (2021) propose
 
DIDc,ℓ = Y c,c+ℓ − Y c,c−1 − Y n,c+ℓ − Y n,c−1 ,

a DID estimator comparing the period-c − 1-to-c + ℓ outcome evolution in cohort c and in the
never-treated groups n.
Callaway and Sant’Anna (2021) extend those baseline estimators in various directions.
First, they propose more aggregated estimators, such as DIDℓ , a weighted average of the
DIDc,ℓ estimators across all cohorts reaching ℓ periods after their first treatment before the
end of the panel. Second, they propose estimators similar to those above, but that use the
not-yet-treated instead of the never-treated as controls. For instance, all groups not yet
treated at period c can be used as control groups in the definition of DIDc,0 . This is very
useful when there is no never-treated group: in that case, the effects T Ec,c+ℓ can still be
estimated, for every c ≥ 2 and ℓ ≥ 0 such that ℓ + c ≤ U , where U is the last period when
at least one group is still untreated. Even when there are never-treated groups, one may
worry that such groups are less comparable to groups that get treated at some point, and
researchers sometimes prefer to discard them and only leverage variation in treatment timing.
Finally, even when one is fine with keeping the never-treated groups, the not-yet-treated is
a larger control group, and may lead to more precise estimators. Note that in staggered
adoption designs with a binary treatment, the DIDM estimator proposed by de Chaisemartin
and D’Haultfœuille (2020) also uses the not-yet-treated as controls, and is identical to the
DID0 estimator of the instantaneous treatment effect using the not-yet-treated as controls
in Callaway and Sant’Anna (2021). Third, Callaway and Sant’Anna (2021) also propose
estimators relying on a conditional parallel trends assumption. Fourth, they suggest placebo
estimators to test the parallel trends assumptions underlying their estimators. These placebos
are robust to heterogeneous effects, unlike the coefficients βbℓ for ℓ ≤ −2 from the event-study
regression in (2.13).
The estimators proposed by Callaway and Sant’Anna (2021) are computed by the csdid
Stata command (see Rios-Avila et al., 2021), and by the did R command (see Sant’Anna and
Callaway, 2021). The basic syntax of the Stata command is
csdid outcome, time(timeid) gvar(cohort)
where cohort is equal to the period when a group starts receiving the treatment.

3.2.2 The estimators proposed by Sun and Abraham (2021)

Sun and Abraham (2021) also propose DID estimators of the cohort-and-period specific effects
T Ec,c+ℓ that only rely on the parallel trends assumption in Equation (3.1), and that are
robust to heterogeneous treatment effects. Their estimators either use the never-treated
groups as controls, or the last-treated groups if there are no never-treated. With the former
control group, their estimators of the T Ec,c+ℓ parameters are identical to those proposed by
Callaway and Sant’Anna (2021) with the same control group. Operationally, they show that
their estimators can be computed via a simple linear regression, which may reduce computing
time. Unlike Callaway and Sant’Anna (2021), they do not propose estimators relying on a
conditional parallel trends assumption, and they also do not propose estimators using the
not-yet-treated as controls.

17
 Their estimators are computed by the eventstudyinteract Stata command (see Sun,
2021). Its basic syntax is
eventstudyinteract outcome {rel_time_list}, absorb(i.groupid i.timeid)
cohort(first_treatment) control_cohort(controlgroup)
where rel_time_list is the list of relative-time indicators 1{Fg = t−ℓ} one would include
in the event-study regression in (2.13), first_treatment is a variable equal to the period
when group g got treated for the first time, and controlgroup is an indicator for the control
group observations (e.g.: the never treated).

3.2.3 The estimators proposed by Borusyak et al. (2021), Gardner (2021), and
Liu et al. (2021)
Borusyak et al. (2021), Gardner (2021), and Liu et al. (2021) have proposed estimators that
may be more efficient than those in Callaway and Sant’Anna (2021) and Sun and Abraham
(2021), under some assumptions. We start by reviewing Borusyak et al. (2021), before dis-
cussing the connection between their results and those in Gardner (2021) and Liu et al. (2021).
The estimators in Borusyak et al. (2021) can be obtained by running a TWFE regression of
the outcome on group and time fixed effects, and fixed effects for every treated (g, t) cell.
To be concrete, if the data has 50 groups, 10 time periods, and 100 treated (g, t) cells, the
regression has a constant and 158 fixed effects (49 for groups, 9 for time periods, and 100 for
the treated (g, t) cells). Under the assumptions of the Gauss-Markov theorem, the coefficients
from this regression are the linear estimators of the population coefficients with the lowest
variance. But under parallel trends, the population coefficient on the fixed effect for treated
cell (g, t) is actually equal to T Eg,t , the ATE in cell (g, t), so the estimators in Borusyak et al.
(2021) are the linear estimators of those ATEs with the lowest variance. With estimators
of T Eg,t in hand, one can estimate T Ec,c+ℓ as the average of all the T Eg,t s such that group
g started receiving the treatment at period c and t = c + ℓ. Again, Gauss-Markov ensures
that this estimator is the best linear estimator of T Ec,c+ℓ . As the estimators in Callaway and
Sant’Anna (2021) and Sun and Abraham (2021) are also linear estimators, those in Borusyak
et al. (2021) have a lower variance.
A second, numerically equivalent way of computing the estimators in Borusyak et al.
(2021) amounts to fitting a regression of the outcome on group and time fixed effects in
the sample of untreated observations, and using that regression to predict the counterfactual
outcome of treated observations. Estimates of the treatment effect of those observations are
then merely obtained by substracting their counterfactual to their actual outcome. This im-
putation method is computationally faster than the first. It also readily generalizes to more
complicated specifications, such as triple-differences, or models allowing for group-specific
linear trends. Using this representation of their estimator, Borusyak et al. (2021) show that
it can also be used to estimate the effect of a binary and non-staggered treatment, if that
treatment does not have dynamic effects. This imputation method is the one used by the
did_imputation Stata command (see Borusyak, 2021) and by the didimputation R com-
mand (see Butts, 2021) to compute the estimators proposed by Borusyak et al. (2021). The
basic syntax of the Stata command is:
did_imputation outcome groupid timeid first_treatment,
where first_treatment is a variable equal to the period when group g first got treated.

18
 Before Borusyak et al. (2021), Liu et al. (2021) and Gardner (2021) have proposed the same
imputation method as in Borusyak et al. (2021),14 but the result showing that the resulting
estimators are efficient under the assumptions of the Gauss-Markov theorem only appears in
Borusyak et al. (2021). Note that Wooldridge (2021) has also proposed an estimation strategy
connected, and in some cases numerically equivalent, to that of Borusyak et al. (2021).

3.2.4 Understanding the differences between those estimators

Under parallel trends, the estimators in Borusyak et al. (2021) may offer precision gains with
respect to those in Callaway and Sant’Anna (2021) or Sun and Abraham (2021), under the
assumptions of the Gauss-Markov theorem. Those require, among other things, that the
never treated potential outcomes Yg,t (0t ) be independent of each other, both across groups
and over time. It is, of course, often implausible that the potential outcomes of the same
group are uncorrelated over time. With serial correlation, it is no longer guaranteed that the
estimators in Borusyak et al. (2021) will always be more efficient than those in Callaway and
Sant’Anna (2021) and Sun and Abraham (2021), but simulations in Borusyak et al. (2021)
suggest that one can still expect efficiency gains with moderate serial correlation.
If trends are not exactly parallel, the estimators in Borusyak et al. (2021) may be more
or less biased than those in Callaway and Sant’Anna (2021) or Sun and Abraham (2021)
depending on the nature of the violation of parallel trends. Borusyak et al. (2021) do not
provide a closed-form of their estimators, but one can show that with only one treated group
s, which starts to receive the treatment at period ts , their estimator of that group’s treatment
effect at ts + ℓ is
s −1 s −1
1 tX 1 tX
!
1 X
Ys,ts +ℓ − Ys,k − Yg,ts +ℓ − Yg,k , (3.2)
ts − 1 k=1 G − 1 g̸=s ts − 1 k=1

while the estimator in Callaway and Sant’Anna (2021) and Sun and Abraham (2021) is
1 X
Ys,ts +ℓ − Ys,ts −1 − (Yg,ts +ℓ − Yg,ts −1 ) . (3.3)
G − 1 g̸=s

Equation (3.3) shows that the estimator in Callaway and Sant’Anna (2021) and Sun and
Abraham (2021) use groups’ ts − 1 outcome, the last period before s gets treated, as the
baseline outcome, while Equation (3.2) shows that the estimator in Borusyak et al. (2021)
instead uses the average outcome from period 1 to ts − 1 as the baseline. This is why
the latter estimator is often more precise. However, it is also more biased, when parallel
trends does not exactly hold and the discrepancy between groups’ trends gets larger over
longer horizons, as would for instance happen when there are group-specific linear trends.
In such instances, Roth (2021) notes that leveraging earlier pre-treatment periods increases
the bias of a DID estimator, since one makes comparisons from earlier periods. If, on the
other hand, parallel trends fails due to anticipation effects arising a few periods before ts ,
Equations (3.2) and (3.3) imply that the estimator in Borusyak et al. (2021) is less biased
than that in Callaway and Sant’Anna (2021) and Sun and Abraham (2021). However, these
two types of violations of parallel trends may not be equally problematic. Often times, both
14
Even before that, Gobillon and Magnac (2016) have proposed a similar strategy to estimate treatment
effects under a factor model.

19
estimators can be immunized against anticipation effects, by redefining ts as the date when
the treatment was announced. On the other hand, it is often harder to immunize them against
differential trends widening over time (see de Chaisemartin and D’Haultfœuille, 2021a, for
further discussion). Beyond the simple example we consider here, deriving a closed-form
expression of the estimators in Borusyak et al. (2021) is not straightforward. Whether the
conclusions we derive in this simple example carry through to more complicated designs is
thus an open question.
If one views parallel trends as a reasonable first-order approximation rather than an as-
sumption that holds exactly, it may make sense to investigate how sensitive one’s findings
are to violations of parallel trends. To do so, one may for instance implement the partial
identification approach in Manski and Pepper (2018) or Rambachan and Roth (2019). The
latter approach assumes that parallel trends do not hold exactly, and that the magnitude of
placebo estimators is informative as to the magnitude of the bias in the actual estimators
caused by differential trends. The estimators proposed by Callaway and Sant’Anna (2021)
and Sun and Abraham (2021) may be more amenable to the approach in Rambachan and
Roth (2019) than the estimators proposed by Borusyak et al. (2021). Consider again the
same simple example as above. For any ℓ ≤ ts − 2, one can construct the following placebo
estimator:
1 X
Ys,ts −1 − Ys,ts −ℓ−2 − (Yg,ts −1 − Yg,ts −ℓ−2 ) . (3.4)
G − 1 g̸=s

This placebo compares the treated and control groups’ outcome evolution, from period ts −ℓ−2
to ts −1, namely over ℓ+1 periods before group s got treated. It exactly mimicks the estimator
of group s’s treatment effect at period ts + ℓ proposed by Callaway and Sant’Anna (2021) and
Sun and Abraham (2021), which compares the same groups, over the same number of periods.
Accordingly, the magnitude of that placebo may indeed be informative as to the magnitude
of the bias of the estimator in Equation (3.3), as requested by Rambachan and Roth (2019).
Building a placebo that would similarly mimick the estimator proposed by Borusyak et al.
(2021) is not feasible, precisely because that estimator leverages all pre-treatment periods to
construct its baseline. See de Chaisemartin and D’Haultfœuille (2021a) for more discussion
of the advantages of having placebos that mimick actual estimators.
Another difference between these approaches is that Borusyak et al. (2021) impose parallel
trends for every group and between every pair of consecutive time periods.15 Callaway and
Sant’Anna (2021), on the other hand, impose a weaker parallel trends assumption: from
period c onwards, cohort c must be on the same trend as the never-treated groups, but before
that cohort c may have been on a different trend. The assumption in Callaway and Sant’Anna
(2021) is the minimal assumption ensuring that all the T Ec,c+ℓ can be unbiasedly estimated,
but it is conditional on the design: which groups are required to be on parallel trends at
which dates depends on groups’ realized treatments. It is also not testable. We refer the
reader to Marcus and Sant’Anna (2021) and Borusyak et al. (2021) for further discussion on
the differences between parallel trends assumptions.
Overall, whether the estimators in Borusyak et al. (2021) should be preferred to those in
Callaway and Sant’Anna (2021) and Sun and Abraham (2021) may depend on one’s degree of
confidence in the parallel trends assumption, on the type of violations of this assumption that
seems more likely to arise in the application at hand, on whether it is possible to immunize the
15
de Chaisemartin and D’Haultfœuille (2020) and Sun and Abraham (2021) also impose that assumption.

20
estimators against anticipation effects by redefining the treatment date as the announcement
date, and on one’s willingness to undertake a sensitivity analysis such as the one proposed
by Rambachan and Roth (2019). Note also that if the estimators proposed by Borusyak
et al. (2021), Callaway and Sant’Anna (2021), and Sun and Abraham (2021) are significantly
different, this implies that the parallel trends assumption, at least the “strong version” of
this assumption imposed by Borusyak et al. (2021) and Sun and Abraham (2021), must be
violated.

3.3 Estimators allowing for dynamic effects when the treatment is not
binary or the design is not staggered.
de Chaisemartin and D’Haultfœuille (2021a) propose treatment effect estimators robust to
heterogeneous and dynamic treatment effects and that can be used even if the treatment is
not binary or the design is not staggered. In their survey of 26 highly cited 2015-2019 AER
papers using a TWFE regression, they find that 4 have a binary treatment and a staggered
design, so being able to accommodate more general designs is important. The paper’s main
idea is to propose a generalization of the event-study approach to such designs, by defining the
event as the period where a group’s treatment changes for the first time. With a binary-and-
staggered treatment, the event per this definition is the period where a group gets treated,
so this definition extends the standard one to general designs.
More specifically, de Chaisemartin and D’Haultfœuille (2021a) start by showing that for
any group g whose treatment changed for the first time at period Fg , the instantaneous and
dynamic effects of that change can be unbiasedly estimated. Let

δg,ℓ = E(Yg,Fg +ℓ − Yg,Fg +ℓ (Dg,1 , ..., Dg,1 ))

be the expected difference between group g’s actual outcome at Fg + ℓ and the counterfactual
“status quo” outcome it would have obtained if its treatment had remained equal to its
period-one value from period one to Fg + ℓ. Let Ng,ℓ c denote the number of groups whose

treatment has not changed yet at Fg + ℓ, and with the same treatment as g at period one.
de Chaisemartin and D’Haultfœuille (2021a) show that
1 X
DIDg,ℓ = Yg,Fg +ℓ − Yg,Fg −1 − c (Yg′ ,Fg +ℓ − Yg′ ,Fg −1 ),
Ng,ℓ g ′ :Dg′ ,1 =Dg,1 ,Fg′ >Fg +ℓ

a DID estimator comparing the Fg − 1-to-Fg + ℓ outcome evolution between group g and
groups whose treatment has not changed yet at Fg + ℓ and with the same treatment as g at
period one, is unbiased for δg,ℓ under parallel trends assumptions. To test those parallel trends
assumptions, they propose placebo estimators comparing the outcome trends of switchers and
non-switchers before the switchers switch.
Then, de Chaisemartin and D’Haultfœuille (2021a) aggregate the DIDg,ℓ estimators into
an estimator of the effect of having experienced a weakly higher amount of treatment for ℓ
periods. For any real number x and t ∈ {1, ..., T }, let xt denote a 1×t vector with coordinates
equal to x. When the treatment is binary, for groups untreated at period one, Dg,1 = 0, so

δg,ℓ = E(Yg,Fg +ℓ (0Fg −1 , 1, Dg,Fg +1 , ..., Dg,Fg +ℓ ) − Yg,Fg +ℓ (0Fg +ℓ )).

21
For groups treated at period one, Dg,1 = 1, so

−δg,ℓ = E(Yg,Fg +ℓ (1Fg +ℓ ) − Yg,Fg +ℓ (1Fg −1 , 0, Dg,Fg +1 , ..., Dg,Fg +ℓ )).

The right-hand side of the two equations above are effects of having experienced a weakly
higher amount of treatment for ℓ + 1 periods. Accordingly, the DIDg,ℓ estimators are aggre-
gated into a DIDℓ estimator, multiplying by minus one the DIDg,ℓ of groups treated at period
one. With a non-binary treatment, one can also aggregate the DIDg,ℓ to estimate the effect
of having experienced a weakly higher amount of treatment for ℓ + 1 periods.
Ultimately, this approach leads to an event-study graph, with the distance to the first
treatment change on the x-axis, the DIDℓ estimators on the y-axis to the right of zero, and
placebo estimators on the y-axis to the left of zero. This event-study graph is useful to
test the parallel trends assumption, and to provide reduced-form evidence of whether weakly
increasing the treatment for ℓ + 1 periods increases or decreases the outcome on average.
However, interpreting the magnitude of the DIDℓ estimators might be complicated. For
instance, with three periods and three groups such that (D1,1 = 0, D1,2 = 4, D1,3 = 1),
(D2,1 = 0, D2,2 = 2, D2,3 = 3), and (D2,1 = 0, D2,2 = 0, D2,3 = 0), DID1 estimates the average
of E(Y1,3 (0, 4, 1) − Y1,3 (0, 0, 0)) and E(Y2,3 (0, 2, 3) − Y2,3 (0, 0, 0)). Accordingly, DID1 does not
estimate by how much the outcome increases on average when the treatment increases by a
given amount for a given number of periods.
To circumvent this important limitation, two strategies can be implemented. First, the
reduced-form event-study graph described above can be complemented with a first-stage
event-study graph, where the outcome is replaced by the treatment. The estimators on
the first-stage graph show the average value of |Dg,Fg +ℓ − Dg,1 | across all groups entering in
DIDℓ . In the example above, the first two estimates on the first-stage graph are equal to
1/2(D1,2 − D1,1 + D2,2 − D2,1 ) = 3 and 1/2(D1,3 − D1,1 + D2,3 − D2,1 ) = 2. This reflects
the fact that in this example, DID1 is an effect produced by increasing the previous and
current treatment by 3 and 2 units on average. Second, a weighted average across ℓ of the
reduced-form estimators divided by a weighted average across ℓ of the first-stage estimators
is unbiased for a parameter with a clear economic interpretation. That parameter may be
used to conduct a cost-benefit analysis comparing groups’ actual treatments to the status quo
scenario where they would have kept all along the same treatment as in period one. In other
words, that parameter can be used to determine if the policy changes that took place over the
duration of the panel led to a better situation than the one that would have prevailed if no
policy change had been undertaken, a natural policy question. Importantly, that parameter
can also be interpreted as an average total effect per unit of treatment, where “total effect”
refers to the sum of the instantaneous and dynamic effects of a treatment.
The estimators proposed by de Chaisemartin and D’Haultfœuille (2021a) are computed
by the did_multiplegt Stata and R commands. To compute those estimators rather than
those proposed in de Chaisemartin and D’Haultfœuille (2020), the Stata command’s basic
syntax is:
did_multiplegt outcome groupid timeid treatment, robust_dynamic dynamic(#)
average_effect placebo(#) longdiff_placebo breps(#) cluster(groupid),
where dynamic(#) specifies the horizon over which effects of a first treatment switch have
to be estimated, and placebo(#) specifies the number of placebos to be estimated.

22
 The estimators in de Chaisemartin and D’Haultfœuille (2021a) can be used with a binary
treatment switching on and off, with a discrete treatment, or with a continuous and staggered
treatment (groups start getting treated at different dates, with differing intensities, but once
a group gets treated its treatment intensity never changes). The estimators proposed by
Callaway et al. (2021) can also accommodate continuous and staggered treatments. For
continuous and non-staggered treatments, in their Section 4.3 de Chaisemartin et al. (2022)
extend their baseline estimators to allow for dynamic effects. With respect to their baseline
estimators, the main difference is that when allowing for dynamic effects, fewer units can be
used as controls. Without dynamic effects, at period t, any unit whose treatment has not
changed between t − 1 and t can be used as a valid control. With dynamic effects, only
units whose treatments have not changed from period 1 to t can be used as valid controls.
Therefore, the need for “stayers” becomes even stronger when allowing for dynamic effects:
many units need to keep the same value of the treatment for a large number of time periods.
Developing estimators robust to dynamic effects that can be used with a continuous treatment
and no stayers has not been done yet and is a promising area for future research.
The estimators in de Chaisemartin and D’Haultfœuille (2021a) can, of course, also be used
with a binary and staggered treatment. Without covariates in the estimation, they are then
equivalent to the estimators proposed by Callaway and Sant’Anna (2021) using the not-yet-
treated as controls. With covariates, the estimators in Callaway and Sant’Anna (2021) and
de Chaisemartin and D’Haultfœuille (2021a) differ. Callaway and Sant’Anna (2021) consider
time-invariant covariates, and assume that trends are parallel once we condition on them.
de Chaisemartin and D’Haultfœuille (2021a) instead consider time-varying covariates and
assume that trends are parallel once the linear effect of those time-varying covariates on the
outcome is accounted for. This for instance allows them to include group-specific linear trends
in the estimation. With covariates, the parallel trends conditions in Callaway and Sant’Anna
(2021) and de Chaisemartin and D’Haultfœuille (2021a) are not nested, and in principle one
could combine both.
Finally, it is worth noting that de Chaisemartin and D’Haultfœuille (2021b) propose
estimators for the case with several treatments. They propose both estimators that generalize
the DIDM estimator in de Chaisemartin and D’Haultfœuille (2020) and rule out dynamic
effects, and estimators that generalize those in Callaway and Sant’Anna (2021) and allow for
dynamic effects.

4 Application
In this section, we revisit an application with a binary and staggered treatment, thus allowing
us to compute several of the heterogeneity-robust DID estimators reviewed above. Between
1968 and 1988, 29 US states adopted a unilateral divorce law (UDL). Wolfers (2006a), building
upon Friedberg (1998), studies the effects of those laws on divorce rates, using a version
of the event-study regression in (2.13). We use his data (Wolfers, 2006b) to revisit this
question. In what follows, estimates are weighted by states’ populations and standard errors
are clustered at the state level, as in Wolfers (2006a). As the author estimates UDLs’ dynamic
effects up to 15 years after adoption, in our replication we focus on heterogeneity-robust DID
estimators allowing for dynamic effects, and present the estimated effects over the same
horizon. We use Stata for this replication exercise, and the versions of the twowayfeweights,

23
eventstudyinteract, csdid, did_imputation, and did_multiplegt commands available
from the SSC repository at the end of April 2022.
Figure 3 below shows the instantaneous and dynamic effects of passing a UDL, according
to six estimation methods. In the top-left panel, we show the estimates from the event-
study regression in (2.13), with L = 15, K = 10, and endpoint binning. According to
this regression, UDLs increase the divorce rate on the year when the law is passed and for
seven years thereafter. 11 years after those laws are passed, their effect becomes significantly
negative. Those effects are consistent with those in Column (1) of Table 2 of Wolfers (2006a).
Our event-study regression and that in Wolfers (2006a) differ on two dimensions: Wolfers
(2006a) does not include any placebo indicator for pre-adoption periods, and he includes
post-adoption indicators for bins of two years (one indicator for the year when the law is
passed and the year after that, one indicator for the second and third years after the law is
passed, etc.). Results seem fairly robust to those specification choices. The placebo estimates
are small, and individually and jointly insignificant (F-test p-value=0.863).
We follow Sun and Abraham (2021), and compute the weights attached to UDLs’ instan-
taneous effect in this event-study regression.16 As shown in Equation (2.14), this coefficient
can be decomposed as the sum of two terms. The first term is a weighted sum of UDL’s
effects in the year when they are passed, across 27 states, where all effects receive a positive
weight. The weights are negatively correlated with the year variable (correlation=−0.232),
so this first term upweights UDLs’ instantaneous effects in states passing a law early, and
downweights UDLs’ instantaneous effects in states passing a law late. Accordingly, this first
term may differ from the average instantaneous effects of UDLs if those effects vary between
early- and late-adopting states, but it at least estimates a convex combination of effects. The
second term is a weighted sum of UDLs’ effects in the years after they are passed. 29 effects
of having passed a UDL a year ago enter in that second term. 16 enter with a positive weight,
and 13 enter with a negative weight. The positive and negative weights respectively sum to
0.012 and −0.012. 28 effects of having passed a UDL two years ago enter in that second term.
10 effects enter with a positive weight, and 18 enter with a negative weight. The positive and
negative weights respectively sum to 0.010 and −0.010. Effects of having passed a UDL three,
four, ..., 14, and more than 15 years ago also enter in that second term. In total, the positive
and negative weights in that second term respectively sum to around 0.064 and −0.064. If
UDLs’ dynamic effects vary across states, that second term may not be equal to zero, thus
further biasing the estimated instantaneous effect in the event-study regression. However,
those contamination weights are not very large, so this bias is likely to be small. Overall, this
event-study regression seems fairly robust to heterogeneous treatment effects.
In the top-centre panel of Figure 3, we use the eventstudyinteract command to compute
the estimators proposed by Sun and Abraham (2021). The estimated effects are very similar
to those in the top-left panel. This could either be due to the fact that UDLs effects are
not very heterogeneous, or to the fact that the event-study regression is fairly robust to
heterogeneous treatment effects, as suggested above. Interestingly, the confidence intervals
are, if anything, slightly wider in the top-left than in the top-centre panel of Figure 3, thus
showing that heterogeneity-robust DID estimators are not always less precise than TWFE
estimators. The placebos are individually insignificant. They are also substantially smaller
16
In practice, we use the twowayfeweights Stata command, which has an option to compute the correlation
between the weights and other variables that we use below.

24
than the estimated effects of UDLs: it does not seem that violations of parallel trends can
fully account for those estimated effects.
In the top-right panel of Figure 3, we use the csdid command to compute the estimators
proposed by Callaway and Sant’Anna (2021), using the “not-yet-treated” states as the control
group. The estimated effects are very similar to those in the top-centre panel. 19 states never
adopt a UDL over the period under consideration, so the group of “never-treated” states used
as controls by eventstudyinteract is quite large, and accounts for a relatively large fraction
of the group of “not-yet-treated” states used as controls by csdid. This may explain why
in this application, the two commands yield very similar estimates. Using the larger control
group of “not-yet-treated” states also does not lead to markedly more precise estimates: the
widths of the confidence intervals are similar in the two panels. The placebos produced by
csdid are small and individually insignificant. The placebos are much smaller in the top-
right than in the top-centre panel. This is because csdid computes first-difference placebos,
comparing the outcome evolution of treated and not-yet treated states, before the treated
start receiving the treatment, and between pairs of consecutive periods.17 On the other hand,
eventstudyinteract computes long-difference placebos. For instance, the second placebo,
shown at t = −3 on the graph, compares the outcome evolution of treated and never-treated
states, from Fg − 1, the period before the treated start getting treated, to Fg − 3. See
de Chaisemartin and D’Haultfœuille (2021a) for a discussion of the respective advantages of
long- and first-difference placebos.
In the bottom-left panel of Figure 3, we use the did_imputation command to compute
the estimators proposed by Borusyak et al. (2021). The short-run effects are more positive
than on the other panels, and the long-run effects are less negative. Surprisingly, the effect
suddenly becomes very large and positive after 15 years. The discrepancy between the long-
run effects estimated by did_imputation and the other commands is evidence that despite
the small placebos, parallel trends may not hold perfectly in this application, at least in the
very-long run. As discussed in the previous section, this may lead the analyst to prefer the
estimators of Sun and Abraham (2021) or Callaway and Sant’Anna (2021), that may be less
biased when trends are not parallel and differential trends widen over time. The confidence
interval of the instantaneous effect is much tighter in the bottom-left panel than in all other
panels: for that treatment effect, the estimator proposed by Borusyak et al. (2021) does
lead to a large precision gain. However, the opposite holds when one considers dynamic
effects. For instance, the confidence interval of the effect two years after passing a UDL is
almost 50% larger per did_imputation than per csdid. Accordingly, the estimators proposed
by Borusyak et al. (2021) do not always lead to precision gains, relative to those proposed
by Sun and Abraham (2021) or Callaway and Sant’Anna (2021). The placebos produced
by did_imputation are small, individually insignificant, and jointly marginally insignificant
(F-test p-value = 0.120).18 The placebos computed by did_imputation are fairly different
from those computed by the other commands. Essentially, the command estimates a TWFE
regression among all the untreated (g, t), with K leads of the treatment. To be consistent
with the other estimations, we run the command with 9 leads. Then, everything is relative
17
csdid has an option to compute long-difference placebos, but it returned an error when we used it.
18
We did not report a joint test that all placebos are equal to 0 based on eventstudyinteract: this command
does not readily allow to compute this test, as it does not return the covariances between the estimators.
Similarly, csdid does not allow to jointly test if the placebos in Figure 3 are significant: it computes a joint
nullity test, but for more disaggregated placebos.

25
to 10 periods prior to treatment, which is why the placebo estimate is set to 0 at t = −10 in
the bottom-left panel, instead of at t = −1 in the other panels.

Figure 3: Effects of Unilateral Divorce Laws, using the data in Wolfers

(2006a)

TWFE estimates Sun & Abraham Callaway & Sant'Anna

.5

.5

.5
0

0
Effect

Effect

Effect
-.5

-.5

-.5
-1

-1

-1
-10 -5 0 5 10 15 -10 -5 0 5 10 15 -10 -5 0 5 10 15
Relative time to change in law Relative time to change in law Relative time to change in law

Borusyak, Jaravel & Spiess dC&DH w/o lin. trends dC&DH with lin. trends

.5
.5

.5

0
0

0
Effect

Effect

Effect
-.5
-.5

-.5

-1
-1

-1

-10 -5 0 5 10 15 -10 -5 0 5 10 15 -10 -5 0 5 10 15

Relative time to change in law Relative time to change in law Relative time to change in law

Note: This figure shows the estimated effects of Unilateral Divorce Laws on the divorce rate and placebo esti-
mates, using the data in Wolfers (2006a) and six estimation methods. In the top-left panel, we show estimated
effects per the event-study regression in (2.13), with L = 15, K = 10, and endpoint binning. In the top-centre
(resp. top-right, bottom-left, bottom-centre) panel, we show estimated effects per the eventstudyinteract
(resp. csdid, did_imputation, did_multiplegt) Stata command. In the bottom-right panel, we show esti-
mated effects per the did_multiplegt Stata command, controlling for state-specific linear trends. All estima-
tions are weighted by states’ populations. Standard errors are clustered at the state level. 95% confidence
intervals relying on a normal approximation are shown in red.

In the bottom-centre panel of Figure 3, we use the did_multiplegt command to com-

pute the estimators proposed by de Chaisemartin and D’Haultfœuille (2021a). The resulting
estimates are extremely close to those produced by the csdid command. The only reason
why the two sets of estimates are not identical is that the estimation is weighted by states’
population, and the two commands seem to handle weights slightly differently. Without
weighting, the two sets of estimates are identical, as expected given that there are no covari-
ates in the estimation and we used csdid with the not-yet-treated as controls. The place-
bos computed by did_multiplegt are long-difference placebos, similar to those computed

26
by eventstudyinteract, except that did_multiplegt uses the not-yet-treated as controls.
They are small, and individually and jointly insignificant (F-test p-value = 0.427).
The estimates discussed so far do not control for state-specific linear trends. Whether
such trends should or should not be included to estimate the effect of UDLs has been a
debated issue in this literature, with Friedberg (1998) arguing in their favor, and Wolfers
(2006a) arguing that they may conflate dynamic effects. The results presented so far already
suggest that including state-specific linear trends is unnecessary, as placebos are small and
insignificant without them. To confirm that, we run the did_multiplegt command again,
controlling for state-specific linear trends.19 The results, displayed in the bottom-right panel
of Figure 3, show that results are fairly insensitive to the inclusion of state-linear trends. If
anything, adding them makes the estimated long-run effects more noisy. The only argument
in favor of state-specific trends is that the placebos are slightly smaller with them, though
the difference is most likely insignificant.
Finally, to synthetize our results and obtain a point estimate that can be compared to
the results in Wolfers (2006a), we average UDL’s effects from the year the law is passed
to seven years thereafter. The results are displayed in Table 1. We do not include therein
the estimates from the eventstudyinteract and csdid commands, as one cannot readily
obtain the standard error of this average effect from these commands. The results show that
according to all estimation methods, UDLs positively affect the divorce rate from the year
the law is passed to seven years thereafter. The estimate of Borusyak et al. (2021) is larger
than the others, which are all fairly similar to each other. The estimated standard error is
substantially lower using the author’s original specification, which is not surprising as it is
less flexible than the other estimation methods.

Table 1: The short-run effects of Unilateral Divorce Laws

Wolfers (2006a) 0.200

(0.056)
Event-study without binning pairs of years 0.249
(0.106)
Borusyak et al. (2021) 0.325
(0.104)
de Chaisemartin and D’Haultfœuille (2021a), no linear trends 0.185
(0.107)
de Chaisemartin and D’Haultfœuille (2021a), linear trends 0.219
(0.096)

Note: This table shows the estimated effects of Unilateral Divorce Laws on the divorce rate, from 0 to 7
years after adoption, using the data in Wolfers (2006a). The first set of estimates is based on the regression
in Column (2) of Table 2 of Wolfers (2006a). The second (resp. third, fourth) set of estimates is based on
the results shown in the bottom-left (resp. bottom-centre, bottom-right) panel of Figure 3. All estimations
are weighted by states’ populations. Standard errors, clustered at the state level, are shown beneath each
estimate, between parentheses.
19
csdid does not allow for group-specific trends. did_imputation allows in principle for such trends but
returned an error when such trends were added. eventstudyinteract allows for such trends.

27
5 Conclusion, and avenues for future research
The literature reviewed in this survey has shown that TWFE regressions may not always
estimate a convex combination of treatment effects. In such cases, it may be hard to give
them a causal interpretation, as TWFE coefficients could for instance be of a different sign
than every unit’s treatment effect. Table 2 below summarizes the alternative estimators
available to applied researchers, depending on their research design and on whether they are
ready or not to rule out dynamic effects. The table shows that the literature so far has mostly
focused on providing alternative estimators for the case with a binary treatment and staggered
adoption. Heterogeneity-robust DID estimators that can be used in more complicated designs
are scarce, while many applications where TWFE regressions have been used either do not
have a staggered design, or do not have a binary treatment. Developing more estimators
that can be used in such designs is a promising avenue for future research. This can often
be done by building upon the insights gained from studying the binary-and-staggered case.
For instance, the estimators proposed by de Chaisemartin and D’Haultfœuille (2021a) build
upon those proposed by Callaway and Sant’Anna (2021) for the binary-and-staggered case.
We hope that the whirlwind of DID working papers shall continue, till heterogeneity-robust
DID estimators are as widely applicable as TWFE regressions.
It is also important to stress that at this stage, it is still unclear whether researchers should
systematically abandon TWFE estimators. Those estimators sometimes estimate a convex
combination of effects under the parallel trends assumption, they may estimate the ATT if
the weights attached to them are uncorrelated with the treatment effects T Eg,t , and they
often have a lower variance than the heterogeneity-robust estimators reviewed in the previous
section. While there are examples where TWFE and heterogeneity-robust DID estimators are
economically and statistically different (see, e.g., the empirical examples in de Chaisemartin
and D’Haultfœuille, 2020, 2021a,b; Baker et al., 2022), the previous section also shows a data
set where TWFE and heterogeneity-robust DID estimators lead to very similar conclusions.
Understanding the circumstances where TWFE and heterogeneity-robust DID estimators are
more likely to differ is an important question. We conjecture that differences are likely to be
larger in complicated designs (e.g.: a non-binary treatment that can turn on and off multiple
times, or several treatments) than in simple designs (e.g.: a single binary and staggered
treatment). This conjecture is based on our discussion of Equation (2.3) in Section 3. This
is also a pattern we found when computing TWFE and heterogeneity-robust DID estimators
in four different data sets, in the empirical examples of this survey and of de Chaisemartin
and D’Haultfœuille (2020; 2021a; 2021b). But those examples are not enough to draw general
conclusions: a systematic comparison of TWFE and heterogeneity-robust DID estimators in
a broad set of applications is in order.
Analyzing estimators’ robustness to heterogeneous treatment effects is important, as the
assumption that all units are affected in the same way by a treatment is seldom credible. In
this survey, we have focused on estimators relying on parallel trends assumptions, but this
question is also relevant for other estimators. See for instance Słoczyński (2020) and Blandhol
et al. (2022) for instrumental variables estimators with covariates. More closely related to
our set-up, the impact of heterogeneous treatment effects in the “group fixed-effects” model
of Bonhomme and Manresa (2015) remains to be studied.

28
 Table 2: A summary of available heterogeneity-robust DID estimators

Panel A: Estimators ruling out dynamic effects

Can be used when outcome unaffected by past treatments

Treatment Estimators available Stata commands See:

Binary de Chaisemartin and D’Haultfœuille (2020) did_multiplegt 3.1

Imai and Kim (2021) 3.1
Borusyak et al. (2021) did_imputation 3.2.3

Discrete de Chaisemartin and D’Haultfœuille (2020) did_multiplegt 3.1

Continuous,
with stayers de Chaisemartin et al. (2022) See Section 3.1 3.1

Continuous, de Chaisemartin et al. (2022) See Section 3.1 3.1

without stayers Graham and Powell (2012) gmm 3.1
Chamberlain (1992) gmm 3.1

Several treatments de Chaisemartin and D’Haultfœuille (2021b) did_multiplegt 3.3

Panel B: Estimators allowing dynamic effects

Can be used when outcome affected by past treatments

Treatment Estimators available Stata commands See:

Binary and Callaway and Sant’Anna (2021) csdid 3.2.1

staggered Sun and Abraham (2021) eventstudyinteract 3.2.2
Borusyak et al. (2021) did_imputation 3.2.3
de Chaisemartin and D’Haultfœuille (2021a) did_multiplegt 3.3

Binary or discrete,
non-staggered de Chaisemartin and D’Haultfœuille (2021a) did_multiplegt 3.3

Continuous and de Chaisemartin and D’Haultfœuille (2021a) did_multiplegt 3.3

staggered Callaway et al. (2021) 3.3

Continuous and
non-staggered,
with stayers de Chaisemartin et al. (2022) See paper 3.3

Continuous and
non-staggered,
without stayers No estimator available yet

Several treatments de Chaisemartin and D’Haultfœuille (2021b) did_multiplegt 3.3

Note: All the Stata commands have R equivalents with the same name, except eventstudyinteract that
does not have an R equivalent, and csdid whose R equivalent is called did. The table’s last column indicates
the section of the paper where the estimator is described.

29
References
Abadie, A. (2005, 01). Semiparametric difference-in-differences estimators. Review of Eco-
nomic Studies 72 (1), 1–19.

Athey, S. and G. W. Imbens (2022). Design-based analysis in difference-in-differences settings

with staggered adoption. Journal of Econometrics 226, 62–79.

Baker, A. C., D. F. Larcker, and C. C. Wang (2022). How much should we trust staggered
difference-in-differences estimates? Journal of Financial Economics 144 (2), 370–395.

Bilinski, A. and L. A. Hatfield (2018). Nothing to see here? non-inferiority approaches to

parallel trends and other model assumptions. arXiv preprint arXiv:1805.03273.

Blandhol, C., J. Bonney, M. Mogstad, and A. Torgovitsky (2022). When is tsls actually late?
NBER working paper 29709.

Bojinov, I., A. Rambachan, and N. Shephard (2021). Panel experiments and dynamic causal
effects: A finite population perspective. Quantitative Economics 12, 1171–1196.

Bonhomme, S. and E. Manresa (2015). Grouped patterns of heterogeneity in panel data.

Econometrica 83 (3), 1147–1184.

Borusyak, K. (2021, June). DID_IMPUTATION: Stata module to perform treatment effect

estimation and pre-trend testing in event studies.

Borusyak, K. and X. Jaravel (2017). Revisiting event study designs. Working Paper.

Borusyak, K., X. Jaravel, and J. Spiess (2021). Revisiting event study designs: Robust and
efficient estimation. arXiv preprint arXiv:2108.12419.

Butts, K. (2021, August). didimputation: Imputation Estimator from Borusyak, Jaravel, and
Spiess (2021) in R.

Callaway, B., A. Goodman-Bacon, and P. H. Sant’Anna (2021). Difference-in-differences with

a continuous treatment. arXiv preprint arXiv:2107.02637.

Callaway, B. and P. H. Sant’Anna (2021). Difference-in-differences with multiple time periods.

Journal of Econometrics 225, 200–230.

Chamberlain, G. (1992). Efficiency bounds for semiparametric regression. Economet-

rica 60 (3), 567–596.

Chernozhukov, V., I. Fernández-Val, J. Hahn, and W. Newey (2013). Average and quantile
effects in nonseparable panel models. Econometrica 81 (2), 535–580.

de Chaisemartin, C. and X. D’Haultfœuille (2015). Fuzzy differences-in-differences. ArXiv

e-prints, eprint 1510.01757v2.

de Chaisemartin, C. and X. D’Haultfœuille (2018). Fuzzy differences-in-differences. The

Review of Economic Studies 85 (2), 999–1028.

30
de Chaisemartin, C. and X. D’Haultfœuille (2020). Two-way fixed effects estimators with
heterogeneous treatment effects. American Economic Review 110 (9), 2964–2996.

de Chaisemartin, C. and X. D’Haultfœuille (2021a). Difference-in-differences estimators of

intertemporal treatment effects. arXiv preprint arXiv:2007.04267.

de Chaisemartin, C. and X. D’Haultfœuille (2021b). Two-way fixed effects regressions with

several treatments. arXiv preprint arXiv:2012.10077.

de Chaisemartin, C., X. D’Haultfœuille, and A. Deeb (2019, February). twowayfeweights:

Estimation of the Weights Attached to the Two-Way Fixed Effects Regressions in Stata.

de Chaisemartin, C., X. D’Haultfœuille, and Y. Guyonvarch (2019, May). did_multiplegt:

DID Estimation with Multiple Groups and Periods in Stata.

de Chaisemartin, C., X. D’Haultfoeuille, F. Pasquier, and G. Vazquez-Bare (2022).

Difference-in-differences estimators of the effect of a continuous treatment. arXiv preprint
arXiv:2201.06898.

Flack, E. and Edward (2020, January). bacondecomp: Goodman-Bacon Decomposition in R.

Freyaldenhoven, S., C. Hansen, and J. M. Shapiro (2019). Pre-event trends in the panel
event-study design. American Economic Review 109 (9), 3307–38.

Friedberg, L. (1998). Did unilateral divorce raise divorce rates? evidence from panel data.
The American Economic Review 88 (3), 608–627.

Gardner, J. (2021). Two-stage differences in differences. Working paper.

Gentzkow, M., J. M. Shapiro, and M. Sinkinson (2011). The effect of newspaper entry and
exit on electoral politics. American Economic Review 101 (7), 2980–3018.

Gobillon, L. and T. Magnac (2016). Regional policy evaluation: Interactive fixed effects and
synthetic controls. Review of Economics and Statistics 98 (3), 535–551.

Goodman-Bacon, A. (2021). Difference-in-differences with variation in treatment timing.

Journal of Econometrics 225, 254–277.

Goodman-Bacon, A., T. Goldring, and A. Nichols (2019, July). BACONDECOMP: Stata

module to perform a Bacon decomposition of difference-in-differences estimation.

Graham, B. S. and J. L. Powell (2012). Identification and estimation of average partial

effects in “irregular” correlated random coefficient panel data models. Econometrica 80 (5),
2105–2152.

Imai, K. and I. S. Kim (2021). On the use of two-way fixed effects regression models for causal
inference with panel data. Political Analysis 29 (3), 405–415.

Jakiela, P. (2021). Simple diagnostics for two-way fixed effects. arXiv preprint
arXiv:2103.13229.

Jordà, Ò. (2005). Estimation and inference of impulse responses by local projections. Amer-
ican economic review 95 (1), 161–182.

31
Kahn-Lang, A. and K. Lang (2020). The promise and pitfalls of differences-in-differences:
Reflections on 16 and pregnant and other applications. Journal of Business & Economic
Statistics 38 (3), 613–620.

Liu, L., Y. Wang, and Y. Xu (2021). A practical guide to counterfactual estimators for causal
inference with time-series cross-sectional data. arXiv preprint arXiv:2107.00856.

Manski, C. F. and J. V. Pepper (2018). How do right-to-carry laws affect crime rates?
coping with ambiguity using bounded-variation assumptions. Review of Economics and
Statistics 100 (2), 232–244.

Marcus, M. and P. H. Sant’Anna (2021). The role of parallel trends in event study settings:
An application to environmental economics. Journal of the Association of Environmental
and Resource Economists 8 (2), 235–275.

Rambachan, A. and J. Roth (2019). An honest approach to parallel trends. Working paper.

Rios-Avila, F., P. Sant’Anna, and B. Callaway (2021). Csdid: Stata module for the estimation
of difference-in-difference models with multiple time periods.

Roth, J. (2021). Pre-test with caution: Event-study estimates after testing for parallel trends.
American Economic Review: Insights forthcoming.

Roth, J. and P. H. Sant’Anna (2021). Efficient estimation for staggered rollout designs. arXiv
preprint arXiv:2102.01291.

Roth, J., P. H. Sant’Anna, A. Bilinski, and J. Poe (2022). What’s trending in difference-
in-differences? a synthesis of the recent econometrics literature. arXiv preprint
arXiv:2201.01194.

Sant’Anna, P. and B. Callaway (2021, December). did: Treatment effects with multiple
periods and groups in r.

Schmidheiny, K. and S. Siegloch (2020). On event studies and distributed-lags in two-way

fixed effects models: Identification, equivalence, and generalization. ZEW Discussion Paper
20-01.

Słoczyński, T. (2020). When should we (not) interpret linear iv estimands as late? arXiv
preprint arXiv:2011.06695.

Stevenson, B. and J. Wolfers (2006). Bargaining in the shadow of the law: Divorce laws and
family distress. The Quarterly Journal of Economics 121 (1), 267–288.

Sun, L. (2020, September). EVENTSTUDYWEIGHTS: Stata module to estimate the implied

weights on the cohort-specific average treatment effects on the treated (CATTs) (event
study specifications).

Sun, L. (2021, August). EVENTSTUDYINTERACT: Stata module to implement the inter-

action weighted estimator for an event study.

Sun, L. and S. Abraham (2021). Estimating dynamic treatment effects in event studies with
heterogeneous treatment effects. Journal of Econometrics 225, 175–199.

32
Wolfers, J. (2006a). Did unilateral divorce laws raise divorce rates? a reconciliation and new
results. American Economic Review 96 (5), 1802–1820.

Wolfers, J. (2006b). Replication data for: Did unilateral divorce laws raise divorce rates?
a reconciliation and new results. Technical report, Nashville, TN: American Economic
Association [publisher], 2006. Ann Arbor, MI: Inter-university Consortium for Political
and Social Research [distributor], 2019-12-07.

Wooldridge, J. (2021). Two-way fixed effects, the two-way mundlak regression, and difference-
in-differences estimators. Available at SSRN 3906345.

Zhang, S. and C. de Chaisemartin (2020, October). did_multiplegt: DID Estimation with

Multiple Groups and Periods in R.

Zhang, S. and C. de Chaisemartin (2021, May). TwowayFEWeights: Estimation of the

Weights Attached to the Two-Way Fixed Effects Regressions in R.

33