Doubly Robust Uniform Confidence Bands for Group-Time Conditional Average Treatment Effects in Difference-in-Differences

We consider a panel data analysis to examine the heterogeneity in treatment effects with respect to a pre-treatment covariate of interest in the staggered difference-in-differences setting of Callaway and Sant'Anna (2021). Under standard identification conditions, a doubly robust estimand conditional on the covariate identifies the group-time conditional average treatment effect given the covariate. Focusing on the case of a continuous covariate, we propose a three-step estimation procedure based on nonparametric local polynomial regressions and parametric estimation methods. Using uniformly valid distributional approximation results for empirical processes and multiplier bootstrapping, we develop doubly robust inference methods to construct uniform confidence bands for the group-time conditional average treatment effect function. The accompanying R package didhetero allows for easy implementation of the proposed methods.