Tests for Many Treatment Effects in Regression Discontinuity Panel Data Models

Numerous studies use regression discontinuity design (RDD) for panel data by assuming that the treatment effects are homogeneous across all individuals/groups and pooling the data together. It is unclear how to test for the significance of treatment effects when the treatments vary across individuals/groups and the error terms may exhibit complicated dependence structures. This paper examines the estimation and inference of multiple treatment effects when the errors are not independent and identically distributed, and the treatment effects vary across individuals/groups. We derive a simple analytical expression for approximating the variance-covariance structure of the treatment effect estimators under general dependence conditions and propose two test statistics, one is to test for the overall significance of the treatment effect and the other for the homogeneity of the treatment effects. We find that in the Gaussian approximations to the test statistics, the dependence structures in the data can be safely ignored due to the localized nature of the statistics. This has the important implication that the simulated critical values can be easily obtained. Simulations demonstrate our tests have superb size control and reasonable power performance in finite samples regardless of the presence of strong cross-section dependence or/and weak serial dependence in the data. We apply our tests to two datasets and find significant overall treatment effects in each case.