diff-diff 0.3.0__tar.gz → 0.5.0__tar.gz

{diff_diff-0.3.0 → diff_diff-0.5.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: diff-diff
-Version: 0.3.0
+Version: 0.5.0
 Summary: A library for Difference-in-Differences causal inference analysis
 Author: diff-diff contributors
 License-Expression: MIT
@@ -69,28 +69,28 @@ did = DifferenceInDifferences()
 results = did.fit(data, outcome='outcome', treatment='treated', time='post')
 
 # View results
-print(results)  # DiDResults(ATT=3.5000*, SE=1.2583, p=0.0367)
+print(results)  # DiDResults(ATT=3.0000, SE=1.7321, p=0.1583)
 results.print_summary()
 ```
 
 Output:
 ```
 ======================================================================
-          Difference-in-Differences Estimation Results
+             Difference-in-Differences Estimation Results
 ======================================================================
 
-Observations:                        8
-Treated units:                       4
-Control units:                       4
-R-squared:                      0.9123
+Observations:                      8
+Treated units:                     4
+Control units:                     4
+R-squared:                    0.9055
 
 ----------------------------------------------------------------------
-Parameter         Estimate     Std. Err.     t-stat      P>|t|
+Parameter           Estimate    Std. Err.     t-stat      P>|t|
 ----------------------------------------------------------------------
-ATT                 3.5000       1.2583      2.782      0.0367
+ATT                   3.0000       1.7321      1.732     0.1583
 ----------------------------------------------------------------------
 
-95% Confidence Interval: [0.3912, 6.6088]
+95% Confidence Interval: [-1.8089, 7.8089]
 
 Signif. codes: '***' 0.001, '**' 0.01, '*' 0.05, '.' 0.1
 ======================================================================
@@ -102,9 +102,14 @@ Signif. codes: '***' 0.001, '**' 0.01, '*' 0.05, '.' 0.1
 - **Pythonic results**: Easy access to coefficients, standard errors, and confidence intervals
 - **Multiple interfaces**: Column names or R-style formulas
 - **Robust inference**: Heteroskedasticity-robust (HC1) and cluster-robust standard errors
+- **Wild cluster bootstrap**: Valid inference with few clusters (<50) using Rademacher, Webb, or Mammen weights
 - **Panel data support**: Two-way fixed effects estimator for panel designs
 - **Multi-period analysis**: Event-study style DiD with period-specific treatment effects
+- **Staggered adoption**: Callaway-Sant'Anna (2021) estimator for heterogeneous treatment timing
 - **Synthetic DiD**: Combined DiD with synthetic control for improved robustness
+- **Event study plots**: Publication-ready visualization of treatment effects
+- **Parallel trends testing**: Multiple methods including equivalence tests
+- **Placebo tests**: Comprehensive diagnostics including fake timing, fake group, permutation, and leave-one-out tests
 - **Data prep utilities**: Helper functions for common data preparation tasks
 
 ## Data Preparation
@@ -342,6 +347,79 @@ cohort_data = aggregate_to_cohorts(
 # Result: mean outcome by treatment group and period
 ```
 
+### Rank Control Units
+
+Select the best control units for DiD or Synthetic DiD analysis by ranking them based on pre-treatment outcome similarity:
+
+```python
+from diff_diff import rank_control_units, generate_did_data
+
+# Generate sample data
+data = generate_did_data(n_units=50, n_periods=6, seed=42)
+
+# Rank control units by their similarity to treated units
+ranking = rank_control_units(
+    data,
+    unit_column='unit',
+    time_column='period',
+    outcome_column='outcome',
+    treatment_column='treated',
+    n_top=10  # Return top 10 controls
+)
+
+print(ranking[['unit', 'quality_score', 'pre_trend_rmse']])
+```
+
+Output:
+```
+   unit  quality_score  pre_trend_rmse
+0    35         1.0000          0.4521
+1    42         0.9234          0.5123
+2    28         0.8876          0.5892
+...
+```
+
+With covariates for matching:
+
+```python
+# Add covariate-based matching
+ranking = rank_control_units(
+    data,
+    unit_column='unit',
+    time_column='period',
+    outcome_column='outcome',
+    treatment_column='treated',
+    covariates=['size', 'age'],  # Match on these too
+    outcome_weight=0.7,          # 70% weight on outcome trends
+    covariate_weight=0.3         # 30% weight on covariate similarity
+)
+```
+
+Filter data for SyntheticDiD using top controls:
+
+```python
+from diff_diff import SyntheticDiD
+
+# Get top control units
+top_controls = ranking['unit'].tolist()
+
+# Filter data to treated + top controls
+filtered_data = data[
+    (data['treated'] == 1) | (data['unit'].isin(top_controls))
+]
+
+# Fit SyntheticDiD with selected controls
+sdid = SyntheticDiD()
+results = sdid.fit(
+    filtered_data,
+    outcome='outcome',
+    treatment='treated',
+    unit='unit',
+    time='period',
+    post_periods=[3, 4, 5]
+)
+```
+
 ## Usage
 
 ### Basic DiD with Column Names
@@ -447,6 +525,36 @@ results = did.fit(
 )
 ```
 
+### Wild Cluster Bootstrap
+
+When you have few clusters (<50), standard cluster-robust SEs are biased. Wild cluster bootstrap provides valid inference even with 5-10 clusters.
+
+```python
+# Use wild bootstrap for inference
+did = DifferenceInDifferences(
+    cluster='state',
+    inference='wild_bootstrap',
+    n_bootstrap=999,
+    bootstrap_weights='rademacher',  # or 'webb' for <10 clusters, 'mammen'
+    seed=42
+)
+results = did.fit(data, outcome='y', treatment='treated', time='post')
+
+# Results include bootstrap-based SE and p-value
+print(f"ATT: {results.att:.3f} (SE: {results.se:.3f})")
+print(f"P-value: {results.p_value:.4f}")
+print(f"95% CI: {results.conf_int}")
+print(f"Inference method: {results.inference_method}")
+print(f"Number of clusters: {results.n_clusters}")
+```
+
+**Weight types:**
+- `'rademacher'` - Default, ±1 with p=0.5, good for most cases
+- `'webb'` - 6-point distribution, recommended for <10 clusters
+- `'mammen'` - Two-point distribution, alternative to Rademacher
+
+Works with `DifferenceInDifferences` and `TwoWayFixedEffects` estimators.
+
 ### Two-Way Fixed Effects (Panel Data)
 
 ```python
@@ -522,6 +630,148 @@ Signif. codes: '***' 0.001, '**' 0.01, '*' 0.05, '.' 0.1
 ================================================================================
 ```
 
+### Staggered Difference-in-Differences (Callaway-Sant'Anna)
+
+When treatment is adopted at different times by different units, traditional TWFE estimators can be biased. The Callaway-Sant'Anna estimator provides unbiased estimates with staggered adoption.
+
+```python
+from diff_diff import CallawaySantAnna
+
+# Panel data with staggered treatment
+# 'first_treat' = period when unit was first treated (0 if never treated)
+cs = CallawaySantAnna()
+results = cs.fit(
+    panel_data,
+    outcome='sales',
+    unit='firm_id',
+    time='year',
+    first_treat='first_treat',  # 0 for never-treated, else first treatment year
+    aggregate='event_study'      # Compute event study effects
+)
+
+# View results
+results.print_summary()
+
+# Access group-time effects ATT(g,t)
+for (group, time), effect in results.group_time_effects.items():
+    print(f"Cohort {group}, Period {time}: {effect['effect']:.3f}")
+
+# Event study effects (averaged by relative time)
+for rel_time, effect in results.event_study_effects.items():
+    print(f"e={rel_time}: {effect['effect']:.3f} (SE: {effect['se']:.3f})")
+
+# Convert to DataFrame
+df = results.to_dataframe(level='event_study')
+```
+
+Output:
+```
+=====================================================================================
+          Callaway-Sant'Anna Staggered Difference-in-Differences Results
+=====================================================================================
+
+Total observations:                     600
+Treated units:                           35
+Control units:                           15
+Treatment cohorts:                        3
+Time periods:                             8
+Control group:                never_treated
+
+-------------------------------------------------------------------------------------
+                  Overall Average Treatment Effect on the Treated
+-------------------------------------------------------------------------------------
+Parameter         Estimate     Std. Err.     t-stat      P>|t|   Sig.
+-------------------------------------------------------------------------------------
+ATT                 2.5000       0.3521       7.101     0.0000   ***
+-------------------------------------------------------------------------------------
+
+95% Confidence Interval: [1.8099, 3.1901]
+
+-------------------------------------------------------------------------------------
+                          Event Study (Dynamic) Effects
+-------------------------------------------------------------------------------------
+Rel. Period       Estimate     Std. Err.     t-stat      P>|t|   Sig.
+-------------------------------------------------------------------------------------
+0                   2.1000       0.4521       4.645     0.0000   ***
+1                   2.5000       0.4123       6.064     0.0000   ***
+2                   2.8000       0.5234       5.349     0.0000   ***
+-------------------------------------------------------------------------------------
+
+Signif. codes: '***' 0.001, '**' 0.01, '*' 0.05, '.' 0.1
+=====================================================================================
+```
+
+**When to use Callaway-Sant'Anna vs TWFE:**
+
+| Scenario | Use TWFE | Use Callaway-Sant'Anna |
+|----------|----------|------------------------|
+| All units treated at same time | ✓ | ✓ |
+| Staggered adoption, homogeneous effects | ✓ | ✓ |
+| Staggered adoption, heterogeneous effects | ✗ | ✓ |
+| Need event study with staggered timing | ✗ | ✓ |
+| Fewer than ~20 treated units | ✓ | Depends on design |
+
+**Parameters:**
+
+```python
+CallawaySantAnna(
+    control_group='never_treated',  # or 'not_yet_treated'
+    anticipation=0,                  # Periods before treatment with effects
+    estimation_method='dr',          # 'dr', 'ipw', or 'reg'
+    alpha=0.05,                      # Significance level
+    cluster=None,                    # Column for cluster SEs
+    n_bootstrap=0,                   # Must be 0 (bootstrap not yet implemented)
+    seed=None                        # Random seed
+)
+```
+
+**Current limitations:**
+- Bootstrap inference (`n_bootstrap > 0`) is not yet implemented
+- Covariate adjustment for conditional parallel trends is not yet implemented
+
+### Event Study Visualization
+
+Create publication-ready event study plots:
+
+```python
+from diff_diff import plot_event_study, MultiPeriodDiD, CallawaySantAnna
+
+# From MultiPeriodDiD
+did = MultiPeriodDiD()
+results = did.fit(data, outcome='y', treatment='treated',
+                  time='period', post_periods=[3, 4, 5])
+plot_event_study(results, title="Treatment Effects Over Time")
+
+# From CallawaySantAnna (with event study aggregation)
+cs = CallawaySantAnna()
+results = cs.fit(data, outcome='y', unit='unit', time='period',
+                 first_treat='first_treat', aggregate='event_study')
+plot_event_study(results, title="Staggered DiD Event Study")
+
+# From a DataFrame
+df = pd.DataFrame({
+    'period': [-2, -1, 0, 1, 2],
+    'effect': [0.1, 0.05, 0.0, 2.5, 2.8],
+    'se': [0.3, 0.25, 0.0, 0.4, 0.45]
+})
+plot_event_study(df, reference_period=0)
+
+# With customization
+ax = plot_event_study(
+    results,
+    title="Dynamic Treatment Effects",
+    xlabel="Years Relative to Treatment",
+    ylabel="Effect on Sales ($1000s)",
+    color="#2563eb",
+    marker="o",
+    shade_pre=True,           # Shade pre-treatment region
+    show_zero_line=True,      # Horizontal line at y=0
+    show_reference_line=True, # Vertical line at reference period
+    figsize=(10, 6),
+    show=False                # Don't call plt.show(), return axes
+)
+```
+
 ### Synthetic Difference-in-Differences
 
 Synthetic DiD combines the strengths of Difference-in-Differences and Synthetic Control methods by re-weighting control units to better match treated units' pre-treatment outcomes.
@@ -754,6 +1004,120 @@ print(f"TOST p-value: {results['tost_p_value']:.4f}")
 print(f"Trends equivalent: {results['equivalent']}")
 ```
 
+### Placebo Tests
+
+Placebo tests help validate the parallel trends assumption by checking whether effects appear where they shouldn't (before treatment or in untreated groups).
+
+**Fake timing test:**
+
+```python
+from diff_diff import run_placebo_test
+
+# Test: Is there an effect before treatment actually occurred?
+# Actual treatment is at period 3 (post_periods=[3, 4, 5])
+# We test if a "fake" treatment at period 1 shows an effect
+results = run_placebo_test(
+    data,
+    outcome='outcome',
+    treatment='treated',
+    time='period',
+    test_type='fake_timing',
+    fake_treatment_period=1,  # Pretend treatment was in period 1
+    post_periods=[3, 4, 5]    # Actual post-treatment periods
+)
+
+print(results.summary())
+# If parallel trends hold, placebo_effect should be ~0 and not significant
+print(f"Placebo effect: {results.placebo_effect:.3f} (p={results.p_value:.3f})")
+print(f"Is significant (bad): {results.is_significant}")
+```
+
+**Fake group test:**
+
+```python
+# Test: Is there an effect among never-treated units?
+# Get some control unit IDs to use as "fake treated"
+control_units = data[data['treated'] == 0]['firm_id'].unique()[:5]
+
+results = run_placebo_test(
+    data,
+    outcome='outcome',
+    treatment='treated',
+    time='period',
+    unit='firm_id',
+    test_type='fake_group',
+    fake_treatment_group=list(control_units),  # List of control unit IDs
+    post_periods=[3, 4, 5]
+)
+```
+
+**Permutation test:**
+
+```python
+# Randomly reassign treatment and compute distribution of effects
+# Note: requires binary post indicator (use 'post' column, not 'period')
+results = run_placebo_test(
+    data,
+    outcome='outcome',
+    treatment='treated',
+    time='post',           # Binary post-treatment indicator
+    unit='firm_id',
+    test_type='permutation',
+    n_permutations=1000,
+    seed=42
+)
+
+print(f"Original effect: {results.original_effect:.3f}")
+print(f"Permutation p-value: {results.p_value:.4f}")
+# Low p-value indicates the effect is unlikely to be due to chance
+```
+
+**Leave-one-out sensitivity:**
+
+```python
+# Test sensitivity to individual treated units
+# Note: requires binary post indicator (use 'post' column, not 'period')
+results = run_placebo_test(
+    data,
+    outcome='outcome',
+    treatment='treated',
+    time='post',           # Binary post-treatment indicator
+    unit='firm_id',
+    test_type='leave_one_out'
+)
+
+# Check if any single unit drives the result
+print(results.leave_one_out_effects)  # Effect when each unit is dropped
+```
+
+**Run all placebo tests:**
+
+```python
+from diff_diff import run_all_placebo_tests
+
+# Comprehensive diagnostic suite
+# Note: This function runs fake_timing tests on pre-treatment periods.
+# The permutation and leave_one_out tests require a binary post indicator,
+# so they may return errors if the data uses multi-period time column.
+all_results = run_all_placebo_tests(
+    data,
+    outcome='outcome',
+    treatment='treated',
+    time='period',
+    unit='firm_id',
+    pre_periods=[0, 1, 2],
+    post_periods=[3, 4, 5],
+    n_permutations=500,
+    seed=42
+)
+
+for test_name, result in all_results.items():
+    if hasattr(result, 'p_value'):
+        print(f"{test_name}: p={result.p_value:.3f}, significant={result.is_significant}")
+    elif isinstance(result, dict) and 'error' in result:
+        print(f"{test_name}: Error - {result['error']}")
+```
+
 ## API Reference
 
 ### DifferenceInDifferences
@@ -1061,6 +1425,31 @@ aggregate_to_cohorts(
 )
 ```
 
+#### rank_control_units
+
+```python
+rank_control_units(
+    data,                          # Panel data in long format
+    unit_column,                   # Unit identifier column
+    time_column,                   # Time period column
+    outcome_column,                # Outcome variable column
+    treatment_column=None,         # Treatment indicator column (0/1)
+    treated_units=None,            # Explicit list of treated unit IDs
+    pre_periods=None,              # Pre-treatment periods (default: first half)
+    covariates=None,               # Covariate columns for matching
+    outcome_weight=0.7,            # Weight for outcome trend similarity (0-1)
+    covariate_weight=0.3,          # Weight for covariate distance (0-1)
+    exclude_units=None,            # Units to exclude from control pool
+    require_units=None,            # Units that must appear in output
+    n_top=None,                    # Return only top N controls
+    suggest_treatment_candidates=False,  # Identify treatment candidates
+    n_treatment_candidates=5,      # Number of treatment candidates
+    lambda_reg=0.0                 # Regularization for synthetic weights
+)
+```
+
+Returns DataFrame with columns: `unit`, `quality_score`, `outcome_trend_score`, `covariate_score`, `synthetic_weight`, `pre_trend_rmse`, `is_required`.
+
 ## Requirements
 
 - Python >= 3.9
@@ -1108,6 +1497,18 @@ This library implements methods from the following scholarly works:
 
 - **Cameron, A. C., Gelbach, J. B., & Miller, D. L. (2011).** "Robust Inference With Multiway Clustering." *Journal of Business & Economic Statistics*, 29(2), 238-249. [https://doi.org/10.1198/jbes.2010.07136](https://doi.org/10.1198/jbes.2010.07136)
 
+### Wild Cluster Bootstrap
+
+- **Cameron, A. C., Gelbach, J. B., & Miller, D. L. (2008).** "Bootstrap-Based Improvements for Inference with Clustered Errors." *The Review of Economics and Statistics*, 90(3), 414-427. [https://doi.org/10.1162/rest.90.3.414](https://doi.org/10.1162/rest.90.3.414)
+
+- **Webb, M. D. (2014).** "Reworking Wild Bootstrap Based Inference for Clustered Errors." Queen's Economics Department Working Paper No. 1315. [https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1315.pdf](https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1315.pdf)
+
+- **MacKinnon, J. G., & Webb, M. D. (2018).** "The Wild Bootstrap for Few (Treated) Clusters." *The Econometrics Journal*, 21(2), 114-135. [https://doi.org/10.1111/ectj.12107](https://doi.org/10.1111/ectj.12107)
+
+### Placebo Tests and DiD Diagnostics
+
+- **Bertrand, M., Duflo, E., & Mullainathan, S. (2004).** "How Much Should We Trust Differences-in-Differences Estimates?" *The Quarterly Journal of Economics*, 119(1), 249-275. [https://doi.org/10.1162/003355304772839588](https://doi.org/10.1162/003355304772839588)
+
 ### Synthetic Control Method
 
 - **Abadie, A., & Gardeazabal, J. (2003).** "The Economic Costs of Conflict: A Case Study of the Basque Country." *The American Economic Review*, 93(1), 113-132. [https://doi.org/10.1257/000282803321455188](https://doi.org/10.1257/000282803321455188)
@@ -1126,14 +1527,20 @@ This library implements methods from the following scholarly works:
 
 - **Rambachan, A., & Roth, J. (2023).** "A More Credible Approach to Parallel Trends." *The Review of Economic Studies*, 90(5), 2555-2591. [https://doi.org/10.1093/restud/rdad018](https://doi.org/10.1093/restud/rdad018)
 
+- **Lakens, D. (2017).** "Equivalence Tests: A Practical Primer for t Tests, Correlations, and Meta-Analyses." *Social Psychological and Personality Science*, 8(4), 355-362. [https://doi.org/10.1177/1948550617697177](https://doi.org/10.1177/1948550617697177)
+
 ### Multi-Period and Staggered Adoption
 
 - **Callaway, B., & Sant'Anna, P. H. C. (2021).** "Difference-in-Differences with Multiple Time Periods." *Journal of Econometrics*, 225(2), 200-230. [https://doi.org/10.1016/j.jeconom.2020.12.001](https://doi.org/10.1016/j.jeconom.2020.12.001)
 
+- **Sant'Anna, P. H. C., & Zhao, J. (2020).** "Doubly Robust Difference-in-Differences Estimators." *Journal of Econometrics*, 219(1), 101-122. [https://doi.org/10.1016/j.jeconom.2020.06.003](https://doi.org/10.1016/j.jeconom.2020.06.003)
+
 - **Sun, L., & Abraham, S. (2021).** "Estimating Dynamic Treatment Effects in Event Studies with Heterogeneous Treatment Effects." *Journal of Econometrics*, 225(2), 175-199. [https://doi.org/10.1016/j.jeconom.2020.09.006](https://doi.org/10.1016/j.jeconom.2020.09.006)
 
 - **de Chaisemartin, C., & D'Haultfœuille, X. (2020).** "Two-Way Fixed Effects Estimators with Heterogeneous Treatment Effects." *American Economic Review*, 110(9), 2964-2996. [https://doi.org/10.1257/aer.20181169](https://doi.org/10.1257/aer.20181169)
 
+- **Goodman-Bacon, A. (2021).** "Difference-in-Differences with Variation in Treatment Timing." *Journal of Econometrics*, 225(2), 254-277. [https://doi.org/10.1016/j.jeconom.2021.03.014](https://doi.org/10.1016/j.jeconom.2021.03.014)
+
 ### General Causal Inference
 
 - **Imbens, G. W., & Rubin, D. B. (2015).** *Causal Inference for Statistics, Social, and Biomedical Sciences: An Introduction*. Cambridge University Press.