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This question is related to a post I addressed on CrossValidated. The "generalized" difference-in-differences (DiD) estimator is amenable to settings with multiple groups and multiple exposure periods. Take the following specification: $$ y_{it} = \gamma_{i} + \lambda_{t} + \delta T_{it} + \epsilon_{it}, $$ where $\gamma_{i}$ and $\lambda_{t}$ ...


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...I know that one should control for year fixed effects when you have panel data... Inserting time (e.g. seasonal) dummies in also standard for stationary time series models. If the dummies are seasonal, such a component would be called additive seasonality. Also, does it even make sense to control for year fixed effects when the independent and main ...


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No in pure time series we generally don't use fixed effects. If you have data on lets say monthly frequency you could include dummies for months in general, e.g. having February, March, April ... dummies but you would include them as a general dummies where all Februaries are part of the February dummy rather having a separate dummy for each time period. You ...


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