Interactive fixed effects estimators bias the average treatment effect on the treated if treatment heterogeneity has a linear factor structure, due to absorption and potential multicollinearity.
As such, there exists a rotation matrixHsuch thatF ∗ = ˘F Hgiven that ˘D(F ∗)>0
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Treatment-effect heterogeneity and interactive fixed effects: Can we control for too much?
Interactive fixed effects estimators bias the average treatment effect on the treated if treatment heterogeneity has a linear factor structure, due to absorption and potential multicollinearity.