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The Donald and Lang (2007) approach applies in the current setting by using finite sample analysis applied to the pooled regression (10). However, DL assume that the errors vgtare uncorrelated across time, and so, even though for small G and T it uses small degrees-of-freedom in a t distribution, it does not account for uncertainty due to serial correlation in vgt. 4. Individual-Level Panel Data Let wit be a binary indicator, which is unity if unit i participates in the program at time t. Consider

yit d2t wit ci uit, t 1, 2,

where d2t 1 if t 2 and zero otherwise, ci is an observed effect, and uit are the idiosyncratic errors. The coefficient is the treatment effect. A simple estimation procedure is to first difference to remove

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