Empirical likelihood confidence interval for difference-in-differences estimator with panel data

Abstract

This paper develops an empirical likelihood approach to construct the confidence interval for the average treatment effect on the treated under the difference-in-differences framework. The empirical likelihood function is constructed based on a doubly robust moment function of the parameter of interest. Under some regularity conditions, we show that the proposed method retains the nonparametric Wilks property of empirical likelihood.