Looking for a Parallel Universe: The Differences-in-Differences Method

尋找平行世界－Differences-in-Differences之方法與應用

樊家忠(Elliott Fan)

Differences-in-differences ； Research design ； Accounting ； Finance ； 差異中的差異法 ； 研究設計 ； 會計 ； 財務

會計審計論叢

8卷1期（2018 / 06 / 01）

1 - 13

英文

This paper introduces the differences-in-differences (DD) model that has been increasingly applied in the fields of finance, accounting, and financial economics. I start with a conceptual framework of the research design, followed by the conventional specification of regression functions and a discussion on the underlying validity requirements for applying the method. I then review a few studies that employ extended designs of the DD model: the differences-in-differences-in-differences (DDD) model, and a design that allows tracking the treatment effect over time. Finally, I present recent finance-related studies, with an emphasis on the standard errors issues.

本文介紹「差異中的差異法」(DD)，這個方法愈來愈廣泛地運用在經濟、金融、會計等領域的實證研究。本文首先介紹DD的理論模型以及其回歸方程式的設定，並討論應用DD時需要滿足的條件。本文接著回顧近年來兩個關於DD模型的擴充設計：「三層差異法」(DDD)，以及可以跟踪中長期效果的研究設計。最後，本文介紹近年來在財務領域運用DD來進行估計的相關研究，並討論應用DD時需要注意校正標準誤。

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