
We propose a novel approach for causal mediation analysis based on changes-in-changes assumptions restricting unobserved heterogeneity over time. This allows disentangling the causal effect of a binary treatment on a continuous outcome into an indirect effect operating through a binary intermediate variable (called mediator) and a direct effect running via other causal mechanisms. We identify average and quantile direct and indirect effects for various subgroups under the condition that the outcome is monotonic in the unobserved heterogeneity and that the distribution of the latter does not change over time conditional on the treatment and the mediator. We also provide a simulation study and two empirical applications regarding a training program evaluation and maternity leave reform.
Statistics and Probability, Economics and Econometrics, General Economics (econ.GN), ddc:330, causal, info:eu-repo/classification/udc/33, changes-in-changes, Econometrics (econ.EM), causal mechanisms, treatment effects, FOS: Economics and business, direct effects, Direct effects, Statistics, Probability and Uncertainty, mediation analysis, C21, Social Sciences (miscellaneous), indirect effects, Economics - Econometrics, Economics - General Economics
Statistics and Probability, Economics and Econometrics, General Economics (econ.GN), ddc:330, causal, info:eu-repo/classification/udc/33, changes-in-changes, Econometrics (econ.EM), causal mechanisms, treatment effects, FOS: Economics and business, direct effects, Direct effects, Statistics, Probability and Uncertainty, mediation analysis, C21, Social Sciences (miscellaneous), indirect effects, Economics - Econometrics, Economics - General Economics
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