This study considers 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 in Callaway and Sant'Anna (2021). Under a set of standard identification conditions, a doubly robust estimand conditional on the covariate identifies the group-time conditional average treatment effect given the covariate. Given this identification result, we propose a three-step estimation procedure based on nonparametric local linear regressions and parametric estimation methods, and develop a doubly robust inference method to construct a uniform confidence band of the group-time conditional average treatment effect function.

翻译：本研究考虑面板数据分析，以检验Callaway与Sant’Anna（2021）所提出的交错差分之差分设定中，相对于某一预处理协变量的处理效应异质性。在一组标准识别条件下，基于该协变量的双重稳健估计量可识别分组-时间条件平均处理效应。基于此识别结果，我们提出一个结合非参数局部线性回归与参数估计方法的三步估计程序，并开发出一种双重稳健推断方法，用于构建分组-时间条件平均处理效应函数的均匀置信带。