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I was advised to implement an event study in the context of air pollution levels after an event had happened. Now my problem is, that I can not really find any introductory literature (or papers), which discuss the event study methodology outside a financial markets context. Everything I find on event studies, talks about stock prices, efficient market hypothesis as a basic assumption, etc. One thing is clear, I can not implement a diff-in-diff, since I do not have any cross-sectional differences in my event. The event happened at the same time in all individuals. I would be really glad on a few tips, books, papers, etc. on how to implement an event study in such a context.

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  • $\begingroup$ econ.ku.dk/cebi/publikationer/working-papers/… $\endgroup$ Sep 2, 2021 at 14:58
  • $\begingroup$ Remember though that the basic idea of an event study is very likely most clearly explained in the context of financial markets where the method had its origin (in the sense of being simple and uncluttered by technical details). Also, your question on how can I do an event study? Would be better posed if you actually took the time to clearly state the nature of your data at hand. $\endgroup$ Sep 2, 2021 at 15:01
  • $\begingroup$ Thank you, Jesper Hybel, this paper is a huge help. Im also trying to describe the required assumptions in a more general from than e.g. "efficient market hypothesis" and the paper you linked, seems to include the assumptions somewhat more generally. My data consists of hourly measurements of pollutants across the US. My setting is the 9/11 terror attack, after which all aircrafts were grounded for around two days. Im trying to see whether there was a significant reduction in pollutants after the grounding. $\endgroup$ Sep 5, 2021 at 9:36

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See this Github page from David Novgorodsky and Bradley Setzler (University of Chicago) and the companion.

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  • $\begingroup$ Thank you, I will try this package. $\endgroup$ Sep 5, 2021 at 9:37

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