diff-diff 0.4.0__tar.gz → 0.6.0__tar.gz

{diff_diff-0.4.0 → diff_diff-0.6.0}/PKG-INFO

@@ -1,11 +1,11 @@
 Metadata-Version: 2.4
 Name: diff-diff
-Version: 0.4.0
+Version: 0.6.0
 Summary: A library for Difference-in-Differences causal inference analysis
 Author: diff-diff contributors
 License-Expression: MIT
 Project-URL: Homepage, https://github.com/igerber/diff-diff
-Project-URL: Documentation, https://github.com/igerber/diff-diff#readme
+Project-URL: Documentation, https://diff-diff.readthedocs.io
 Project-URL: Repository, https://github.com/igerber/diff-diff
 Project-URL: Issues, https://github.com/igerber/diff-diff/issues
 Keywords: causal-inference,difference-in-differences,econometrics,statistics,treatment-effects
@@ -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
 ======================================================================
@@ -102,14 +102,29 @@ 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
+- **Honest DiD sensitivity analysis**: Rambachan-Roth (2023) bounds and breakdown analysis for parallel trends violations
 - **Data prep utilities**: Helper functions for common data preparation tasks
 
+## Tutorials
+
+We provide Jupyter notebook tutorials in `docs/tutorials/`:
+
+| Notebook | Description |
+|----------|-------------|
+| `01_basic_did.ipynb` | Basic 2x2 DiD, formula interface, covariates, fixed effects, cluster-robust SE, wild bootstrap |
+| `02_staggered_did.ipynb` | Staggered adoption with Callaway-Sant'Anna, group-time effects, aggregation methods |
+| `03_synthetic_did.ipynb` | Synthetic DiD, unit/time weights, inference methods, regularization |
+| `04_parallel_trends.ipynb` | Testing parallel trends, equivalence tests, placebo tests, diagnostics |
+| `05_honest_did.ipynb` | Honest DiD sensitivity analysis, bounds, breakdown values, visualization |
+
 ## Data Preparation
 
 diff-diff provides utility functions to help prepare your data for DiD analysis. These functions handle common data transformation tasks like creating treatment indicators, reshaping panel data, and validating data formats.
@@ -523,6 +538,36 @@ 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
@@ -688,14 +733,31 @@ CallawaySantAnna(
     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)
+    n_bootstrap=0,                   # Bootstrap iterations (0 = analytical SEs)
     seed=None                        # Random seed
 )
 ```
 
+**Covariate adjustment for conditional parallel trends:**
+
+When parallel trends only holds conditional on covariates, use the `covariates` parameter:
+
+```python
+# Doubly robust estimation with covariates
+cs = CallawaySantAnna(estimation_method='dr')  # 'dr', 'ipw', or 'reg'
+results = cs.fit(
+    data,
+    outcome='sales',
+    unit='firm_id',
+    time='year',
+    first_treat='first_treat',
+    covariates=['size', 'age', 'industry'],  # Covariates for conditional PT
+    aggregate='event_study'
+)
+```
+
 **Current limitations:**
-- Bootstrap inference (`n_bootstrap > 0`) is not yet implemented
-- Covariate adjustment for conditional parallel trends is not yet implemented
+- Bootstrap inference (`n_bootstrap > 0`) is not yet fully implemented
 
 ### Event Study Visualization
 
@@ -972,6 +1034,195 @@ print(f"TOST p-value: {results['tost_p_value']:.4f}")
 print(f"Trends equivalent: {results['equivalent']}")
 ```
 
+### Honest DiD Sensitivity Analysis (Rambachan-Roth)
+
+Pre-trends tests have low power and can exacerbate bias. **Honest DiD** (Rambachan & Roth 2023) provides sensitivity analysis showing how robust your results are to violations of parallel trends.
+
+```python
+from diff_diff import HonestDiD, MultiPeriodDiD
+
+# First, fit a standard event study
+did = MultiPeriodDiD()
+event_results = did.fit(
+    data,
+    outcome='outcome',
+    treatment='treated',
+    time='period',
+    post_periods=[5, 6, 7, 8, 9]
+)
+
+# Compute honest bounds with relative magnitudes restriction
+# M=1 means post-treatment violations can be up to 1x the worst pre-treatment violation
+honest = HonestDiD(method='relative_magnitude', M=1.0)
+honest_results = honest.fit(event_results)
+
+print(honest_results.summary())
+print(f"Original estimate: {honest_results.original_estimate:.4f}")
+print(f"Robust 95% CI: [{honest_results.ci_lb:.4f}, {honest_results.ci_ub:.4f}]")
+print(f"Effect robust to violations: {honest_results.is_significant}")
+```
+
+**Sensitivity analysis over M values:**
+
+```python
+# How do results change as we allow larger violations?
+sensitivity = honest.sensitivity_analysis(
+    event_results,
+    M_grid=[0, 0.5, 1.0, 1.5, 2.0]
+)
+
+print(sensitivity.summary())
+print(f"Breakdown value: M = {sensitivity.breakdown_M}")
+# Breakdown = smallest M where the robust CI includes zero
+```
+
+**Breakdown value:**
+
+The breakdown value tells you how robust your conclusion is:
+
+```python
+breakdown = honest.breakdown_value(event_results)
+if breakdown >= 1.0:
+    print("Result holds even if post-treatment violations are as bad as pre-treatment")
+else:
+    print(f"Result requires violations smaller than {breakdown:.1f}x pre-treatment")
+```
+
+**Smoothness restriction (alternative approach):**
+
+```python
+# Bounds second differences of trend violations
+# M=0 means linear extrapolation of pre-trends
+honest_smooth = HonestDiD(method='smoothness', M=0.5)
+smooth_results = honest_smooth.fit(event_results)
+```
+
+**Visualization:**
+
+```python
+from diff_diff import plot_sensitivity, plot_honest_event_study
+
+# Plot sensitivity analysis
+plot_sensitivity(sensitivity, title="Sensitivity to Parallel Trends Violations")
+
+# Event study with honest confidence intervals
+plot_honest_event_study(event_results, honest_results)
+```
+
+### 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
@@ -1156,6 +1407,75 @@ SyntheticDiD(
 | `get_unit_weights_df()` | Get unit weights as DataFrame |
 | `get_time_weights_df()` | Get time weights as DataFrame |
 
+### HonestDiD
+
+```python
+HonestDiD(
+    method='relative_magnitude',  # 'relative_magnitude' or 'smoothness'
+    M=None,               # Restriction parameter (default: 1.0 for RM, 0.0 for SD)
+    alpha=0.05,           # Significance level for CIs
+    l_vec=None            # Linear combination vector for target parameter
+)
+```
+
+**fit() Parameters:**
+
+| Parameter | Type | Description |
+|-----------|------|-------------|
+| `results` | MultiPeriodDiDResults | Results from MultiPeriodDiD.fit() |
+| `M` | float | Restriction parameter (overrides constructor value) |
+
+**Methods:**
+
+| Method | Description |
+|--------|-------------|
+| `fit(results, M)` | Compute bounds for given event study results |
+| `sensitivity_analysis(results, M_grid)` | Compute bounds over grid of M values |
+| `breakdown_value(results, tol)` | Find smallest M where CI includes zero |
+
+### HonestDiDResults
+
+**Attributes:**
+
+| Attribute | Description |
+|-----------|-------------|
+| `original_estimate` | Point estimate under parallel trends |
+| `lb` | Lower bound of identified set |
+| `ub` | Upper bound of identified set |
+| `ci_lb` | Lower bound of robust confidence interval |
+| `ci_ub` | Upper bound of robust confidence interval |
+| `ci_width` | Width of robust CI |
+| `M` | Restriction parameter used |
+| `method` | Restriction method ('relative_magnitude' or 'smoothness') |
+| `alpha` | Significance level |
+| `is_significant` | True if robust CI excludes zero |
+
+**Methods:**
+
+| Method | Description |
+|--------|-------------|
+| `summary()` | Get formatted summary string |
+| `to_dict()` | Convert to dictionary |
+| `to_dataframe()` | Convert to pandas DataFrame |
+
+### SensitivityResults
+
+**Attributes:**
+
+| Attribute | Description |
+|-----------|-------------|
+| `M_grid` | Array of M values analyzed |
+| `results` | List of HonestDiDResults for each M |
+| `breakdown_M` | Smallest M where CI includes zero (None if always significant) |
+
+**Methods:**
+
+| Method | Description |
+|--------|-------------|
+| `summary()` | Get formatted summary string |
+| `plot(ax)` | Plot sensitivity analysis |
+| `to_dataframe()` | Convert to pandas DataFrame |
+
 ### Data Preparation Functions
 
 #### generate_did_data
@@ -1351,6 +1671,18 @@ 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)
@@ -1367,9 +1699,23 @@ This library implements methods from the following scholarly works:
 
 - **Roth, J. (2022).** "Pretest with Caution: Event-Study Estimates after Testing for Parallel Trends." *American Economic Review: Insights*, 4(3), 305-322. [https://doi.org/10.1257/aeri.20210236](https://doi.org/10.1257/aeri.20210236)
 
+- **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)
+
+### Honest DiD / Sensitivity Analysis
+
+The `HonestDiD` module implements sensitivity analysis methods for relaxing the parallel trends assumption:
+
 - **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)
+  This paper introduces the "Honest DiD" framework implemented in our `HonestDiD` class:
+  - **Relative Magnitudes (ΔRM)**: Bounds post-treatment violations by a multiple of observed pre-treatment violations
+  - **Smoothness (ΔSD)**: Bounds on second differences of trend violations, allowing for linear extrapolation of pre-trends
+  - **Breakdown Analysis**: Finding the smallest violation magnitude that would overturn conclusions
+  - **Robust Confidence Intervals**: Valid inference under partial identification
+
+- **Roth, J., & Sant'Anna, P. H. C. (2023).** "When Is Parallel Trends Sensitive to Functional Form?" *Econometrica*, 91(2), 737-747. [https://doi.org/10.3982/ECTA19402](https://doi.org/10.3982/ECTA19402)
+
+  Discusses functional form sensitivity in parallel trends assumptions, relevant to understanding when smoothness restrictions are appropriate.
 
 ### Multi-Period and Staggered Adoption