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Take a look at Ch 5 of Mastering Metrics (Angrist and Pischke) or their earlier "Mostly harmless econometrics".


It sounds like you are really looking at differences in differences, not event studies. Diff in diff compares outcomes before/after a policy intervention (as does an event study) (the first diff) and between treated and untreated units (the second diff). The underlying assumption is that, in the absence of the policy, treated and untreated units (here: ...


"Identification" is the professional jargon in econometrics for "asserting that the outputs from an econometric model do indeed estimate what we want and declare that they estimate". "Identification" does not include an assertion that a specific estimate coming from combining a specific estimation method with a data sample, will ...


I think the best way how to explain this is to first quickly explain what identification actually is. As mentioned in this thread: For example, in the John Stachurski, a primer in econometric theory the identification is a process of finding out if the parameters are identifiable and identifiability is defined as “Identifiability means that the parameter ...

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