First as Tragedy? Second as What? Estimating Dynamic Effects of Recurrent Events

Abstract: I study treatment effect estimation when treatment events have persistent effects and can be experienced more than once. Natural disasters, job loss and health shocks are examples of such treatments. I show that the effect of a total treatment trajectory can be recovered under assumptions similar to those commonly invoked in single-event settings using suitably flexible TWFE models. Decomposing the total trajectory effect into portions attributable to distinct event occurrences, however, requires further assumptions. I propose an assumption similar to conditional parallel trends, imposing it on the growth of event-specific effects rather than on untreated outcomes. Combined with a linear-in-parameters model of effect growth, this assumption enables a sequential imputation estimator that consistently estimates the dynamic effects of each event occurrence and that can accommodate heterogeneity in effects according to observable event attributes, such as intensity. I demonstrate that several intuitive TWFE models fail to recover interpretable treatment effect parameters in the multi-event setting and illustrate the sequential imputation estimator's favourable performance using Monte Carlo simulations.