Empirical Likelihood Confidence Interval for Difference-in-Differences Estimator with Panel Data 1 a B,†

In this paper, a new empirical likelihood approach is developed to construct the confidence interval for the average treatment effect on the treated under the difference-in-differences framework. The empirical likelihood function is constructed based on a doubly robust moment function of the parameter of interest. Under some regularity conditions, we show that the new method retains the nonparametric Wilks property of empirical likelihood, that is, the resulting log-empirical likelihood ratio statistic converges in distribution to a standard chi-squared random variable