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 groups, periods, and 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 weighted/multiplier bootstrapping, we develop doubly robust inference methods to construct uniform confidence bands for the group-time conditional average treatment effect function and a variety of useful summary parameters. The accompanying R package didhetero allows for easy implementation of our methods.