Code:
Y_{i,t} = \beta_0 + \beta_1 treat_i + \beta_2 time_t + \beta_3 (treat_i \cdot time_t) + \varepsilon_{i,t}
The parameter of interest is the DiD estimator $\beta_3$.
How do I estimate $\beta_3$ for subgroups of firms determined by time-invariant characteristics? Example: I want to determine $\beta_3$ for both small and large firms separately, and see if (and by how much) $\beta_3$ differs across those subgroups. Notably, both small and large firms are affected by the treatment $treat_i$, which is why a triple DDD seems not suitable.
How can I do this without subsetting the data and estimating the DiD model for small and large firms, separately?
How can I extend this to subgroup characteristics that are not binary (small vs. large firms), but multinomial (e.g. regions of firms)?
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