Handbook of the Economics of Finance

4.5 Further Reading

Other examples of DD estimations in finance include: Agrawal (2009), Asker and Ljungqvist (2010), Gormley and Matsa (2011), Melzer (2011), and Becker and Stromberg (2010). Textbook treatments of natural experiments and difference-in-differences estimators can be found in Chapters 6 and 10 in Wooldridge (2002), chapters 10 and 13 in Wooldridge (2002), Stock and Watson (2007), and chapter 5 of Angrist and Pischke (2009). Meyer (1995) provides an excellent discussion of these topics using the labor literature as an illustrative vehicle, as does the survey of empirical methods in labor economics by Angrist and Krueger (1999). The empirical methods mimeo by Esther Duflo,²⁴ while terse, presents a number of tips and examples of ...