diff-diff 3.0.1__cp314-cp314-win_amd64.whl
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- diff_diff/__init__.py +382 -0
- diff_diff/_backend.py +134 -0
- diff_diff/_rust_backend.cp314-win_amd64.pyd +0 -0
- diff_diff/bacon.py +1140 -0
- diff_diff/bootstrap_utils.py +730 -0
- diff_diff/continuous_did.py +1626 -0
- diff_diff/continuous_did_bspline.py +190 -0
- diff_diff/continuous_did_results.py +374 -0
- diff_diff/datasets.py +815 -0
- diff_diff/diagnostics.py +882 -0
- diff_diff/efficient_did.py +1770 -0
- diff_diff/efficient_did_bootstrap.py +359 -0
- diff_diff/efficient_did_covariates.py +899 -0
- diff_diff/efficient_did_results.py +368 -0
- diff_diff/efficient_did_weights.py +617 -0
- diff_diff/estimators.py +1501 -0
- diff_diff/honest_did.py +2585 -0
- diff_diff/imputation.py +2458 -0
- diff_diff/imputation_bootstrap.py +418 -0
- diff_diff/imputation_results.py +448 -0
- diff_diff/linalg.py +2538 -0
- diff_diff/power.py +2588 -0
- diff_diff/practitioner.py +869 -0
- diff_diff/prep.py +1738 -0
- diff_diff/prep_dgp.py +1718 -0
- diff_diff/pretrends.py +1105 -0
- diff_diff/results.py +918 -0
- diff_diff/stacked_did.py +1049 -0
- diff_diff/stacked_did_results.py +339 -0
- diff_diff/staggered.py +3895 -0
- diff_diff/staggered_aggregation.py +864 -0
- diff_diff/staggered_bootstrap.py +752 -0
- diff_diff/staggered_results.py +416 -0
- diff_diff/staggered_triple_diff.py +1545 -0
- diff_diff/staggered_triple_diff_results.py +416 -0
- diff_diff/sun_abraham.py +1685 -0
- diff_diff/survey.py +1981 -0
- diff_diff/synthetic_did.py +1136 -0
- diff_diff/triple_diff.py +2047 -0
- diff_diff/trop.py +952 -0
- diff_diff/trop_global.py +1270 -0
- diff_diff/trop_local.py +1307 -0
- diff_diff/trop_results.py +356 -0
- diff_diff/twfe.py +542 -0
- diff_diff/two_stage.py +1952 -0
- diff_diff/two_stage_bootstrap.py +520 -0
- diff_diff/two_stage_results.py +400 -0
- diff_diff/utils.py +1902 -0
- diff_diff/visualization/__init__.py +61 -0
- diff_diff/visualization/_common.py +328 -0
- diff_diff/visualization/_continuous.py +274 -0
- diff_diff/visualization/_diagnostic.py +817 -0
- diff_diff/visualization/_event_study.py +1086 -0
- diff_diff/visualization/_power.py +661 -0
- diff_diff/visualization/_staggered.py +833 -0
- diff_diff/visualization/_synthetic.py +197 -0
- diff_diff/wooldridge.py +1285 -0
- diff_diff/wooldridge_results.py +349 -0
- diff_diff-3.0.1.dist-info/METADATA +2997 -0
- diff_diff-3.0.1.dist-info/RECORD +62 -0
- diff_diff-3.0.1.dist-info/WHEEL +4 -0
- diff_diff-3.0.1.dist-info/sboms/diff_diff_rust.cyclonedx.json +5843 -0
diff_diff/triple_diff.py
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"""
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Triple Difference (DDD) estimators.
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Implements the methodology from Ortiz-Villavicencio & Sant'Anna (2025)
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"Better Understanding Triple Differences Estimators" for causal inference
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when treatment requires satisfying two criteria:
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1. Belonging to a treated group (e.g., a state with a policy)
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2. Being in an eligible partition (e.g., women, low-income, etc.)
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This module provides regression adjustment, inverse probability weighting,
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and doubly robust estimators that correctly handle covariate adjustment,
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unlike naive implementations. Standard errors use the efficient influence
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function: SE = std(IF) / sqrt(n), which is inherently heteroskedasticity-
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robust. Cluster-robust SEs are available via the ``cluster`` parameter.
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The DDD is computed via three pairwise DiD comparisons matching R's
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``triplediff::ddd()`` package (panel=FALSE mode).
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Reference:
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Ortiz-Villavicencio, M., & Sant'Anna, P. H. C. (2025).
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Better Understanding Triple Differences Estimators.
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arXiv:2505.09942.
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"""
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import warnings
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from dataclasses import dataclass, field
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from typing import Any, Dict, List, Optional, Tuple
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import numpy as np
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import pandas as pd
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from diff_diff.linalg import solve_logit, solve_ols
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from diff_diff.results import _format_survey_block, _get_significance_stars
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from diff_diff.utils import safe_inference
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_MIN_CELL_SIZE = 10
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# =============================================================================
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# Results Classes
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# =============================================================================
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@dataclass
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class TripleDifferenceResults:
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"""
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Results from Triple Difference (DDD) estimation.
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Provides access to the estimated average treatment effect on the treated
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(ATT), standard errors, confidence intervals, and diagnostic information.
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Attributes
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----------
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att : float
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Average Treatment effect on the Treated (ATT).
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This is the effect on units in the treated group (G=1) and eligible
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partition (P=1) after treatment (T=1).
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se : float
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Standard error of the ATT estimate.
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t_stat : float
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T-statistic for the ATT estimate.
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p_value : float
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P-value for the null hypothesis that ATT = 0.
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conf_int : tuple[float, float]
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Confidence interval for the ATT.
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n_obs : int
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Total number of observations used in estimation.
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n_treated_eligible : int
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Number of observations in treated group and eligible partition.
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n_treated_ineligible : int
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Number of observations in treated group and ineligible partition.
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n_control_eligible : int
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Number of observations in control group and eligible partition.
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n_control_ineligible : int
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Number of observations in control group and ineligible partition.
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estimation_method : str
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Estimation method used: "dr" (doubly robust), "reg" (regression
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adjustment), or "ipw" (inverse probability weighting).
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alpha : float
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Significance level used for confidence intervals.
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"""
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att: float
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se: float
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t_stat: float
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p_value: float
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conf_int: Tuple[float, float]
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n_obs: int
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n_treated_eligible: int
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n_treated_ineligible: int
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n_control_eligible: int
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n_control_ineligible: int
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estimation_method: str
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alpha: float = 0.05
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# Group means for diagnostics
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group_means: Optional[Dict[str, float]] = field(default=None)
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# Propensity score diagnostics (for IPW/DR)
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pscore_stats: Optional[Dict[str, float]] = field(default=None)
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# Regression diagnostics
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r_squared: Optional[float] = field(default=None)
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# Covariate balance statistics
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covariate_balance: Optional[pd.DataFrame] = field(default=None, repr=False)
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# Inference details
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inference_method: str = field(default="analytical")
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n_bootstrap: Optional[int] = field(default=None)
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n_clusters: Optional[int] = field(default=None)
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# Survey design metadata (SurveyMetadata instance from diff_diff.survey)
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survey_metadata: Optional[Any] = field(default=None)
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# EPV diagnostics per subgroup comparison
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epv_diagnostics: Optional[Dict[int, Dict[str, Any]]] = field(
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default=None, repr=False
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)
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epv_threshold: float = 10
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pscore_fallback: str = "error"
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def __repr__(self) -> str:
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"""Concise string representation."""
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return (
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f"TripleDifferenceResults(ATT={self.att:.4f}{self.significance_stars}, "
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f"SE={self.se:.4f}, p={self.p_value:.4f}, method={self.estimation_method})"
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)
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def summary(self, alpha: Optional[float] = None) -> str:
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"""
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Generate a formatted summary of the estimation results.
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Parameters
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----------
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alpha : float, optional
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Significance level for confidence intervals. Defaults to the
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alpha used during estimation.
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Returns
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-------
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str
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Formatted summary table.
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"""
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alpha = alpha or self.alpha
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conf_level = int((1 - alpha) * 100)
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lines = [
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"=" * 75,
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"Triple Difference (DDD) Estimation Results".center(75),
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"=" * 75,
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"",
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f"{'Estimation method:':<30} {self.estimation_method:>15}",
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f"{'Total observations:':<30} {self.n_obs:>15}",
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"",
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"Sample Composition by Cell:",
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f" {'Treated group, Eligible:':<28} {self.n_treated_eligible:>15}",
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f" {'Treated group, Ineligible:':<28} {self.n_treated_ineligible:>15}",
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f" {'Control group, Eligible:':<28} {self.n_control_eligible:>15}",
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f" {'Control group, Ineligible:':<28} {self.n_control_ineligible:>15}",
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]
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if self.r_squared is not None:
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lines.append(f"{'R-squared:':<30} {self.r_squared:>15.4f}")
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# Add survey design info
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if self.survey_metadata is not None:
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sm = self.survey_metadata
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lines.extend(_format_survey_block(sm, 75))
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if self.inference_method != "analytical":
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lines.append(f"{'Inference method:':<30} {self.inference_method:>15}")
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if self.n_bootstrap is not None:
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lines.append(f"{'Bootstrap replications:':<30} {self.n_bootstrap:>15}")
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if self.n_clusters is not None:
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lines.append(f"{'Number of clusters:':<30} {self.n_clusters:>15}")
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lines.extend(
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[
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"",
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"-" * 75,
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f"{'Parameter':<15} {'Estimate':>12} {'Std. Err.':>12} {'t-stat':>10} {'P>|t|':>10} {'':>5}",
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"-" * 75,
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f"{'ATT':<15} {self.att:>12.4f} {self.se:>12.4f} {self.t_stat:>10.3f} {self.p_value:>10.4f} {self.significance_stars:>5}",
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"-" * 75,
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"",
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f"{conf_level}% Confidence Interval: [{self.conf_int[0]:.4f}, {self.conf_int[1]:.4f}]",
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]
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)
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# EPV diagnostics block (if any subgroup has low EPV)
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if self.epv_diagnostics:
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low_epv = {k: v for k, v in self.epv_diagnostics.items() if v.get("is_low")}
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if low_epv:
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n_affected = len(low_epv)
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n_total = len(self.epv_diagnostics)
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min_entry = min(low_epv.values(), key=lambda v: v["epv"])
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lines.extend(
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[
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"",
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"-" * 75,
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"EPV Diagnostics".center(75),
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"-" * 75,
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f"WARNING: Low Events Per Variable (EPV) in "
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f"{n_affected} of {n_total} subgroup comparison(s).",
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f"Minimum EPV: {min_entry['epv']:.1f}. "
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f"Threshold: {self.epv_threshold:.0f}.",
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"Consider: estimation_method='reg' or fewer covariates.",
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"Call results.epv_summary() for details.",
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"-" * 75,
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]
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)
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# Show group means if available
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if self.group_means:
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lines.extend(
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[
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"",
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"-" * 75,
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"Cell Means (Y):",
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"-" * 75,
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]
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)
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for cell, mean in self.group_means.items():
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lines.append(f" {cell:<35} {mean:>12.4f}")
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# Show propensity score diagnostics if available
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if self.pscore_stats:
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lines.extend(
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[
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"",
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"-" * 75,
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"Propensity Score Diagnostics:",
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"-" * 75,
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]
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)
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for stat, value in self.pscore_stats.items():
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lines.append(f" {stat:<35} {value:>12.4f}")
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lines.extend(
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[
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"",
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"Signif. codes: '***' 0.001, '**' 0.01, '*' 0.05, '.' 0.1",
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"=" * 75,
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]
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)
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return "\n".join(lines)
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def print_summary(self, alpha: Optional[float] = None) -> None:
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"""Print the summary to stdout."""
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print(self.summary(alpha))
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def to_dict(self) -> Dict[str, Any]:
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"""
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Convert results to a dictionary.
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Returns
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-------
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Dict[str, Any]
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Dictionary containing all estimation results.
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"""
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result = {
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"att": self.att,
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"se": self.se,
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"t_stat": self.t_stat,
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"p_value": self.p_value,
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"conf_int_lower": self.conf_int[0],
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"conf_int_upper": self.conf_int[1],
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"n_obs": self.n_obs,
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"n_treated_eligible": self.n_treated_eligible,
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"n_treated_ineligible": self.n_treated_ineligible,
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"n_control_eligible": self.n_control_eligible,
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"n_control_ineligible": self.n_control_ineligible,
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"estimation_method": self.estimation_method,
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"inference_method": self.inference_method,
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}
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if self.r_squared is not None:
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result["r_squared"] = self.r_squared
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if self.n_bootstrap is not None:
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+
result["n_bootstrap"] = self.n_bootstrap
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+
if self.n_clusters is not None:
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result["n_clusters"] = self.n_clusters
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+
if self.survey_metadata is not None:
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+
sm = self.survey_metadata
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+
result["weight_type"] = sm.weight_type
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result["effective_n"] = sm.effective_n
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+
result["design_effect"] = sm.design_effect
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+
result["sum_weights"] = sm.sum_weights
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+
result["n_strata"] = sm.n_strata
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+
result["n_psu"] = sm.n_psu
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+
result["df_survey"] = sm.df_survey
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|
+
return result
|
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+
|
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|
+
def to_dataframe(self) -> pd.DataFrame:
|
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+
"""
|
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|
+
Convert results to a pandas DataFrame.
|
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|
+
|
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+
Returns
|
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292
|
+
-------
|
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+
pd.DataFrame
|
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|
+
DataFrame with estimation results.
|
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|
+
"""
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+
return pd.DataFrame([self.to_dict()])
|
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+
|
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+
@property
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|
+
def is_significant(self) -> bool:
|
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+
"""Check if the ATT is statistically significant at the alpha level."""
|
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|
+
return bool(self.p_value < self.alpha)
|
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|
+
|
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+
@property
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|
+
def significance_stars(self) -> str:
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+
"""Return significance stars based on p-value."""
|
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306
|
+
return _get_significance_stars(self.p_value)
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+
|
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|
+
def epv_summary(self, show_all: bool = False) -> pd.DataFrame:
|
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+
"""
|
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|
+
Return per-subgroup EPV diagnostics as a DataFrame.
|
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|
+
|
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312
|
+
Parameters
|
|
313
|
+
----------
|
|
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|
+
show_all : bool, default False
|
|
315
|
+
If False, only show subgroups with low EPV. If True, show all.
|
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316
|
+
|
|
317
|
+
Returns
|
|
318
|
+
-------
|
|
319
|
+
pd.DataFrame
|
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320
|
+
Columns: subgroup, epv, n_events, n_params, is_low.
|
|
321
|
+
"""
|
|
322
|
+
if not self.epv_diagnostics:
|
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323
|
+
return pd.DataFrame(
|
|
324
|
+
columns=["subgroup", "epv", "n_events", "n_params", "is_low"]
|
|
325
|
+
)
|
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326
|
+
rows = []
|
|
327
|
+
for sg, diag in sorted(self.epv_diagnostics.items()):
|
|
328
|
+
if show_all or diag.get("is_low", False):
|
|
329
|
+
rows.append(
|
|
330
|
+
{
|
|
331
|
+
"subgroup": sg,
|
|
332
|
+
"epv": diag.get("epv"),
|
|
333
|
+
"n_events": diag.get("n_events"),
|
|
334
|
+
"n_params": diag.get("k"),
|
|
335
|
+
"is_low": diag.get("is_low", False),
|
|
336
|
+
}
|
|
337
|
+
)
|
|
338
|
+
cols = ["subgroup", "epv", "n_events", "n_params", "is_low"]
|
|
339
|
+
return pd.DataFrame(rows, columns=cols) if rows else pd.DataFrame(columns=cols)
|
|
340
|
+
|
|
341
|
+
|
|
342
|
+
# =============================================================================
|
|
343
|
+
# Helper Functions
|
|
344
|
+
# =============================================================================
|
|
345
|
+
|
|
346
|
+
|
|
347
|
+
# =============================================================================
|
|
348
|
+
# Main Estimator Class
|
|
349
|
+
# =============================================================================
|
|
350
|
+
|
|
351
|
+
|
|
352
|
+
class TripleDifference:
|
|
353
|
+
"""
|
|
354
|
+
Triple Difference (DDD) estimator.
|
|
355
|
+
|
|
356
|
+
Estimates the Average Treatment effect on the Treated (ATT) when treatment
|
|
357
|
+
requires satisfying two criteria: belonging to a treated group AND being
|
|
358
|
+
in an eligible partition of the population.
|
|
359
|
+
|
|
360
|
+
This implementation follows Ortiz-Villavicencio & Sant'Anna (2025), which
|
|
361
|
+
shows that naive DDD implementations (difference of two DiDs, three-way
|
|
362
|
+
fixed effects) are invalid when covariates are needed for identification.
|
|
363
|
+
|
|
364
|
+
Parameters
|
|
365
|
+
----------
|
|
366
|
+
estimation_method : str, default="dr"
|
|
367
|
+
Estimation method to use:
|
|
368
|
+
- "dr": Doubly robust (recommended). Consistent if either the outcome
|
|
369
|
+
model or propensity score model is correctly specified.
|
|
370
|
+
- "reg": Regression adjustment (outcome regression).
|
|
371
|
+
- "ipw": Inverse probability weighting.
|
|
372
|
+
robust : bool, default=True
|
|
373
|
+
Whether to use heteroskedasticity-robust standard errors.
|
|
374
|
+
Note: influence function-based SEs are inherently robust to
|
|
375
|
+
heteroskedasticity, so this parameter has no effect. Retained
|
|
376
|
+
for API compatibility.
|
|
377
|
+
cluster : str, optional
|
|
378
|
+
Column name for cluster-robust standard errors. When provided,
|
|
379
|
+
SEs are computed using the Liang-Zeger cluster-robust variance
|
|
380
|
+
estimator on the influence function.
|
|
381
|
+
alpha : float, default=0.05
|
|
382
|
+
Significance level for confidence intervals.
|
|
383
|
+
pscore_trim : float, default=0.01
|
|
384
|
+
Trimming threshold for propensity scores. Scores below this value
|
|
385
|
+
or above (1 - pscore_trim) are clipped to avoid extreme weights.
|
|
386
|
+
rank_deficient_action : str, default="warn"
|
|
387
|
+
Action when design matrix is rank-deficient (linearly dependent columns):
|
|
388
|
+
- "warn": Issue warning and drop linearly dependent columns (default)
|
|
389
|
+
- "error": Raise ValueError
|
|
390
|
+
- "silent": Drop columns silently without warning
|
|
391
|
+
epv_threshold : float, default=10
|
|
392
|
+
Events Per Variable threshold for propensity score logit.
|
|
393
|
+
When the ratio of minority-class observations to predictor
|
|
394
|
+
variables (excluding intercept) falls below this value, a
|
|
395
|
+
warning is emitted (or ``ValueError`` raised if
|
|
396
|
+
``rank_deficient_action="error"``). Based on Peduzzi et al.
|
|
397
|
+
(1996). Only applies to IPW and DR estimation methods.
|
|
398
|
+
pscore_fallback : str, default="error"
|
|
399
|
+
Action when propensity score estimation fails:
|
|
400
|
+
- "error": Raise the exception (default)
|
|
401
|
+
- "unconditional": Fall back to unconditional propensity with
|
|
402
|
+
a warning. For IPW, drops all covariates. For DR, the
|
|
403
|
+
propensity model becomes unconditional but outcome regression
|
|
404
|
+
still uses covariates.
|
|
405
|
+
When ``rank_deficient_action="error"``, errors are always
|
|
406
|
+
re-raised regardless of this setting.
|
|
407
|
+
|
|
408
|
+
Attributes
|
|
409
|
+
----------
|
|
410
|
+
results_ : TripleDifferenceResults
|
|
411
|
+
Estimation results after calling fit().
|
|
412
|
+
is_fitted_ : bool
|
|
413
|
+
Whether the model has been fitted.
|
|
414
|
+
|
|
415
|
+
Examples
|
|
416
|
+
--------
|
|
417
|
+
Basic usage with a DataFrame:
|
|
418
|
+
|
|
419
|
+
>>> import pandas as pd
|
|
420
|
+
>>> from diff_diff import TripleDifference
|
|
421
|
+
>>>
|
|
422
|
+
>>> # Data where treatment affects women (partition=1) in states
|
|
423
|
+
>>> # that enacted a policy (group=1)
|
|
424
|
+
>>> data = pd.DataFrame({
|
|
425
|
+
... 'outcome': [...],
|
|
426
|
+
... 'group': [1, 1, 0, 0, ...], # 1=policy state, 0=control state
|
|
427
|
+
... 'partition': [1, 0, 1, 0, ...], # 1=women, 0=men
|
|
428
|
+
... 'post': [0, 0, 1, 1, ...], # 1=post-treatment period
|
|
429
|
+
... })
|
|
430
|
+
>>>
|
|
431
|
+
>>> # Fit using doubly robust estimation
|
|
432
|
+
>>> ddd = TripleDifference(estimation_method="dr")
|
|
433
|
+
>>> results = ddd.fit(
|
|
434
|
+
... data,
|
|
435
|
+
... outcome='outcome',
|
|
436
|
+
... group='group',
|
|
437
|
+
... partition='partition',
|
|
438
|
+
... time='post'
|
|
439
|
+
... )
|
|
440
|
+
>>> print(results.att) # ATT estimate
|
|
441
|
+
|
|
442
|
+
With covariates (properly handled unlike naive DDD):
|
|
443
|
+
|
|
444
|
+
>>> results = ddd.fit(
|
|
445
|
+
... data,
|
|
446
|
+
... outcome='outcome',
|
|
447
|
+
... group='group',
|
|
448
|
+
... partition='partition',
|
|
449
|
+
... time='post',
|
|
450
|
+
... covariates=['age', 'income']
|
|
451
|
+
... )
|
|
452
|
+
|
|
453
|
+
Notes
|
|
454
|
+
-----
|
|
455
|
+
The DDD estimator is appropriate when:
|
|
456
|
+
|
|
457
|
+
1. Treatment affects only units satisfying BOTH criteria:
|
|
458
|
+
- Belonging to a treated group (G=1), e.g., states with a policy
|
|
459
|
+
- Being in an eligible partition (P=1), e.g., women, low-income
|
|
460
|
+
|
|
461
|
+
2. The DDD parallel trends assumption holds: the differential trend
|
|
462
|
+
between eligible and ineligible partitions would have been the same
|
|
463
|
+
across treated and control groups, absent treatment.
|
|
464
|
+
|
|
465
|
+
This is weaker than requiring separate parallel trends for two DiDs,
|
|
466
|
+
as biases can cancel out in the differencing.
|
|
467
|
+
|
|
468
|
+
References
|
|
469
|
+
----------
|
|
470
|
+
.. [1] Ortiz-Villavicencio, M., & Sant'Anna, P. H. C. (2025).
|
|
471
|
+
Better Understanding Triple Differences Estimators.
|
|
472
|
+
arXiv:2505.09942.
|
|
473
|
+
|
|
474
|
+
.. [2] Gruber, J. (1994). The incidence of mandated maternity benefits.
|
|
475
|
+
American Economic Review, 84(3), 622-641.
|
|
476
|
+
"""
|
|
477
|
+
|
|
478
|
+
def __init__(
|
|
479
|
+
self,
|
|
480
|
+
estimation_method: str = "dr",
|
|
481
|
+
robust: bool = True,
|
|
482
|
+
cluster: Optional[str] = None,
|
|
483
|
+
alpha: float = 0.05,
|
|
484
|
+
pscore_trim: float = 0.01,
|
|
485
|
+
rank_deficient_action: str = "warn",
|
|
486
|
+
epv_threshold: float = 10,
|
|
487
|
+
pscore_fallback: str = "error",
|
|
488
|
+
):
|
|
489
|
+
if estimation_method not in ("dr", "reg", "ipw"):
|
|
490
|
+
raise ValueError(
|
|
491
|
+
f"estimation_method must be 'dr', 'reg', or 'ipw', " f"got '{estimation_method}'"
|
|
492
|
+
)
|
|
493
|
+
if rank_deficient_action not in ["warn", "error", "silent"]:
|
|
494
|
+
raise ValueError(
|
|
495
|
+
f"rank_deficient_action must be 'warn', 'error', or 'silent', "
|
|
496
|
+
f"got '{rank_deficient_action}'"
|
|
497
|
+
)
|
|
498
|
+
if epv_threshold <= 0:
|
|
499
|
+
raise ValueError(
|
|
500
|
+
f"epv_threshold must be > 0, got {epv_threshold}"
|
|
501
|
+
)
|
|
502
|
+
if pscore_fallback not in {"error", "unconditional"}:
|
|
503
|
+
raise ValueError(
|
|
504
|
+
f"pscore_fallback must be 'error' or 'unconditional', "
|
|
505
|
+
f"got '{pscore_fallback}'"
|
|
506
|
+
)
|
|
507
|
+
self.estimation_method = estimation_method
|
|
508
|
+
self.robust = robust
|
|
509
|
+
self.cluster = cluster
|
|
510
|
+
self.alpha = alpha
|
|
511
|
+
self.pscore_trim = pscore_trim
|
|
512
|
+
self.rank_deficient_action = rank_deficient_action
|
|
513
|
+
self.epv_threshold = epv_threshold
|
|
514
|
+
self.pscore_fallback = pscore_fallback
|
|
515
|
+
|
|
516
|
+
self.is_fitted_ = False
|
|
517
|
+
self.results_: Optional[TripleDifferenceResults] = None
|
|
518
|
+
|
|
519
|
+
def fit(
|
|
520
|
+
self,
|
|
521
|
+
data: pd.DataFrame,
|
|
522
|
+
outcome: str,
|
|
523
|
+
group: str,
|
|
524
|
+
partition: str,
|
|
525
|
+
time: str,
|
|
526
|
+
covariates: Optional[List[str]] = None,
|
|
527
|
+
survey_design=None,
|
|
528
|
+
) -> TripleDifferenceResults:
|
|
529
|
+
"""
|
|
530
|
+
Fit the Triple Difference model.
|
|
531
|
+
|
|
532
|
+
Parameters
|
|
533
|
+
----------
|
|
534
|
+
data : pd.DataFrame
|
|
535
|
+
DataFrame containing all variables.
|
|
536
|
+
outcome : str
|
|
537
|
+
Name of the outcome variable column.
|
|
538
|
+
group : str
|
|
539
|
+
Name of the group indicator column (0/1).
|
|
540
|
+
1 = treated group (e.g., states that enacted policy).
|
|
541
|
+
0 = control group.
|
|
542
|
+
partition : str
|
|
543
|
+
Name of the partition/eligibility indicator column (0/1).
|
|
544
|
+
1 = eligible partition (e.g., women, targeted demographic).
|
|
545
|
+
0 = ineligible partition.
|
|
546
|
+
time : str
|
|
547
|
+
Name of the time period indicator column (0/1).
|
|
548
|
+
1 = post-treatment period.
|
|
549
|
+
0 = pre-treatment period.
|
|
550
|
+
covariates : list of str, optional
|
|
551
|
+
List of covariate column names to adjust for.
|
|
552
|
+
These are properly incorporated using the selected estimation
|
|
553
|
+
method (unlike naive DDD implementations).
|
|
554
|
+
survey_design : SurveyDesign, optional
|
|
555
|
+
Survey design specification for complex survey data. When
|
|
556
|
+
provided, uses survey weights for estimation and Taylor Series
|
|
557
|
+
Linearization (TSL) for variance estimation. Supported with
|
|
558
|
+
all estimation methods ("reg", "ipw", "dr").
|
|
559
|
+
|
|
560
|
+
Returns
|
|
561
|
+
-------
|
|
562
|
+
TripleDifferenceResults
|
|
563
|
+
Object containing estimation results.
|
|
564
|
+
|
|
565
|
+
Raises
|
|
566
|
+
------
|
|
567
|
+
ValueError
|
|
568
|
+
If required columns are missing or data validation fails.
|
|
569
|
+
NotImplementedError
|
|
570
|
+
If survey_design is used with wild_bootstrap inference.
|
|
571
|
+
"""
|
|
572
|
+
# Reset replicate state from any previous fit
|
|
573
|
+
self._replicate_n_valid = None
|
|
574
|
+
|
|
575
|
+
# Resolve survey design if provided
|
|
576
|
+
from diff_diff.survey import (
|
|
577
|
+
_inject_cluster_as_psu,
|
|
578
|
+
_resolve_effective_cluster,
|
|
579
|
+
_resolve_survey_for_fit,
|
|
580
|
+
compute_survey_metadata,
|
|
581
|
+
)
|
|
582
|
+
|
|
583
|
+
resolved_survey, survey_weights, survey_weight_type, survey_metadata = (
|
|
584
|
+
_resolve_survey_for_fit(survey_design, data, "analytical")
|
|
585
|
+
)
|
|
586
|
+
|
|
587
|
+
if resolved_survey is not None and resolved_survey.weight_type != "pweight":
|
|
588
|
+
raise ValueError(
|
|
589
|
+
f"TripleDifference survey support requires weight_type='pweight', "
|
|
590
|
+
f"got '{resolved_survey.weight_type}'. The survey variance math "
|
|
591
|
+
f"assumes probability weights (pweight)."
|
|
592
|
+
)
|
|
593
|
+
|
|
594
|
+
# Validate inputs
|
|
595
|
+
self._validate_data(data, outcome, group, partition, time, covariates)
|
|
596
|
+
|
|
597
|
+
# Extract data
|
|
598
|
+
y = data[outcome].values.astype(float)
|
|
599
|
+
G = data[group].values.astype(float)
|
|
600
|
+
P = data[partition].values.astype(float)
|
|
601
|
+
T = data[time].values.astype(float)
|
|
602
|
+
|
|
603
|
+
# Store cluster IDs for SE computation
|
|
604
|
+
self._cluster_ids = data[self.cluster].values if self.cluster is not None else None
|
|
605
|
+
if self._cluster_ids is not None and np.any(pd.isna(data[self.cluster])):
|
|
606
|
+
raise ValueError(f"Cluster column '{self.cluster}' contains missing values")
|
|
607
|
+
|
|
608
|
+
# Resolve effective cluster and inject cluster-as-PSU for survey variance
|
|
609
|
+
if resolved_survey is not None:
|
|
610
|
+
effective_cluster_ids = _resolve_effective_cluster(
|
|
611
|
+
resolved_survey, self._cluster_ids, self.cluster
|
|
612
|
+
)
|
|
613
|
+
if effective_cluster_ids is not None:
|
|
614
|
+
resolved_survey = _inject_cluster_as_psu(resolved_survey, effective_cluster_ids)
|
|
615
|
+
if resolved_survey.psu is not None and survey_metadata is not None:
|
|
616
|
+
raw_w = (
|
|
617
|
+
data[survey_design.weights].values.astype(np.float64)
|
|
618
|
+
if survey_design.weights
|
|
619
|
+
else np.ones(len(data), dtype=np.float64)
|
|
620
|
+
)
|
|
621
|
+
survey_metadata = compute_survey_metadata(resolved_survey, raw_w)
|
|
622
|
+
|
|
623
|
+
# Get covariates if specified
|
|
624
|
+
X = None
|
|
625
|
+
if covariates:
|
|
626
|
+
X = data[covariates].values.astype(float)
|
|
627
|
+
if np.any(np.isnan(X)):
|
|
628
|
+
raise ValueError("Covariates contain missing values")
|
|
629
|
+
|
|
630
|
+
# Count observations in each cell
|
|
631
|
+
n_obs = len(y)
|
|
632
|
+
n_treated_eligible = int(np.sum((G == 1) & (P == 1)))
|
|
633
|
+
n_treated_ineligible = int(np.sum((G == 1) & (P == 0)))
|
|
634
|
+
n_control_eligible = int(np.sum((G == 0) & (P == 1)))
|
|
635
|
+
n_control_ineligible = int(np.sum((G == 0) & (P == 0)))
|
|
636
|
+
|
|
637
|
+
# Compute cell means for diagnostics
|
|
638
|
+
group_means = self._compute_cell_means(y, G, P, T, weights=survey_weights)
|
|
639
|
+
|
|
640
|
+
# Estimate ATT based on method
|
|
641
|
+
if self.estimation_method == "reg":
|
|
642
|
+
att, se, r_squared, pscore_stats, epv_diag = self._regression_adjustment(
|
|
643
|
+
y,
|
|
644
|
+
G,
|
|
645
|
+
P,
|
|
646
|
+
T,
|
|
647
|
+
X,
|
|
648
|
+
survey_weights=survey_weights,
|
|
649
|
+
resolved_survey=resolved_survey,
|
|
650
|
+
)
|
|
651
|
+
elif self.estimation_method == "ipw":
|
|
652
|
+
att, se, r_squared, pscore_stats, epv_diag = self._ipw_estimation(
|
|
653
|
+
y,
|
|
654
|
+
G,
|
|
655
|
+
P,
|
|
656
|
+
T,
|
|
657
|
+
X,
|
|
658
|
+
survey_weights=survey_weights,
|
|
659
|
+
resolved_survey=resolved_survey,
|
|
660
|
+
)
|
|
661
|
+
else: # doubly robust
|
|
662
|
+
att, se, r_squared, pscore_stats, epv_diag = self._doubly_robust(
|
|
663
|
+
y,
|
|
664
|
+
G,
|
|
665
|
+
P,
|
|
666
|
+
T,
|
|
667
|
+
X,
|
|
668
|
+
survey_weights=survey_weights,
|
|
669
|
+
resolved_survey=resolved_survey,
|
|
670
|
+
)
|
|
671
|
+
|
|
672
|
+
# Compute inference
|
|
673
|
+
# When survey design is active, use survey df (n_PSU - n_strata)
|
|
674
|
+
if survey_metadata is not None and survey_metadata.df_survey is not None:
|
|
675
|
+
df = survey_metadata.df_survey
|
|
676
|
+
# Override with effective replicate df only when replicates were dropped
|
|
677
|
+
if (hasattr(self, '_replicate_n_valid') and self._replicate_n_valid is not None
|
|
678
|
+
and resolved_survey is not None
|
|
679
|
+
and self._replicate_n_valid < resolved_survey.n_replicates):
|
|
680
|
+
df = self._replicate_n_valid - 1
|
|
681
|
+
survey_metadata.df_survey = self._replicate_n_valid - 1
|
|
682
|
+
# df <= 0 means insufficient rank for t-based inference
|
|
683
|
+
if df is not None and df <= 0:
|
|
684
|
+
df = 0 # Forces NaN from t-distribution
|
|
685
|
+
elif (resolved_survey is not None
|
|
686
|
+
and hasattr(resolved_survey, 'uses_replicate_variance')
|
|
687
|
+
and resolved_survey.uses_replicate_variance):
|
|
688
|
+
# Replicate design with undefined df (rank <= 1) — NaN inference
|
|
689
|
+
df = 0 # Forces NaN from t-distribution
|
|
690
|
+
else:
|
|
691
|
+
df = n_obs - 8 # Approximate df (8 cell means)
|
|
692
|
+
if covariates:
|
|
693
|
+
df -= len(covariates)
|
|
694
|
+
df = max(df, 1)
|
|
695
|
+
|
|
696
|
+
t_stat, p_value, conf_int = safe_inference(att, se, alpha=self.alpha, df=df)
|
|
697
|
+
|
|
698
|
+
# Get number of clusters if clustering
|
|
699
|
+
n_clusters = None
|
|
700
|
+
if self.cluster is not None:
|
|
701
|
+
n_clusters = data[self.cluster].nunique()
|
|
702
|
+
|
|
703
|
+
# Create results object
|
|
704
|
+
self.results_ = TripleDifferenceResults(
|
|
705
|
+
att=att,
|
|
706
|
+
se=se,
|
|
707
|
+
t_stat=t_stat,
|
|
708
|
+
p_value=p_value,
|
|
709
|
+
conf_int=conf_int,
|
|
710
|
+
n_obs=n_obs,
|
|
711
|
+
n_treated_eligible=n_treated_eligible,
|
|
712
|
+
n_treated_ineligible=n_treated_ineligible,
|
|
713
|
+
n_control_eligible=n_control_eligible,
|
|
714
|
+
n_control_ineligible=n_control_ineligible,
|
|
715
|
+
estimation_method=self.estimation_method,
|
|
716
|
+
alpha=self.alpha,
|
|
717
|
+
group_means=group_means,
|
|
718
|
+
pscore_stats=pscore_stats,
|
|
719
|
+
r_squared=r_squared,
|
|
720
|
+
inference_method="analytical",
|
|
721
|
+
n_clusters=n_clusters,
|
|
722
|
+
survey_metadata=survey_metadata,
|
|
723
|
+
epv_diagnostics=epv_diag if epv_diag else None,
|
|
724
|
+
epv_threshold=self.epv_threshold,
|
|
725
|
+
pscore_fallback=self.pscore_fallback,
|
|
726
|
+
)
|
|
727
|
+
|
|
728
|
+
self.is_fitted_ = True
|
|
729
|
+
return self.results_
|
|
730
|
+
|
|
731
|
+
def _validate_data(
|
|
732
|
+
self,
|
|
733
|
+
data: pd.DataFrame,
|
|
734
|
+
outcome: str,
|
|
735
|
+
group: str,
|
|
736
|
+
partition: str,
|
|
737
|
+
time: str,
|
|
738
|
+
covariates: Optional[List[str]] = None,
|
|
739
|
+
) -> None:
|
|
740
|
+
"""Validate input data."""
|
|
741
|
+
if not isinstance(data, pd.DataFrame):
|
|
742
|
+
raise TypeError("data must be a pandas DataFrame")
|
|
743
|
+
|
|
744
|
+
# Check required columns exist
|
|
745
|
+
required_cols = [outcome, group, partition, time]
|
|
746
|
+
if covariates:
|
|
747
|
+
required_cols.extend(covariates)
|
|
748
|
+
if self.cluster is not None:
|
|
749
|
+
required_cols.append(self.cluster)
|
|
750
|
+
|
|
751
|
+
missing_cols = [col for col in required_cols if col not in data.columns]
|
|
752
|
+
if missing_cols:
|
|
753
|
+
raise ValueError(f"Missing columns in data: {missing_cols}")
|
|
754
|
+
|
|
755
|
+
# Check for missing values in required columns
|
|
756
|
+
for col in [outcome, group, partition, time]:
|
|
757
|
+
if data[col].isna().any():
|
|
758
|
+
raise ValueError(f"Column '{col}' contains missing values")
|
|
759
|
+
|
|
760
|
+
# Validate binary variables
|
|
761
|
+
for col, name in [(group, "group"), (partition, "partition"), (time, "time")]:
|
|
762
|
+
unique_vals = set(data[col].unique())
|
|
763
|
+
if not unique_vals.issubset({0, 1, 0.0, 1.0}):
|
|
764
|
+
raise ValueError(
|
|
765
|
+
f"'{name}' column must be binary (0/1), " f"got values: {sorted(unique_vals)}"
|
|
766
|
+
)
|
|
767
|
+
if len(unique_vals) < 2:
|
|
768
|
+
raise ValueError(f"'{name}' column must have both 0 and 1 values")
|
|
769
|
+
|
|
770
|
+
# Check we have observations in all cells
|
|
771
|
+
G = data[group].values
|
|
772
|
+
P = data[partition].values
|
|
773
|
+
T = data[time].values
|
|
774
|
+
|
|
775
|
+
cells = [
|
|
776
|
+
((G == 1) & (P == 1) & (T == 0), "treated, eligible, pre"),
|
|
777
|
+
((G == 1) & (P == 1) & (T == 1), "treated, eligible, post"),
|
|
778
|
+
((G == 1) & (P == 0) & (T == 0), "treated, ineligible, pre"),
|
|
779
|
+
((G == 1) & (P == 0) & (T == 1), "treated, ineligible, post"),
|
|
780
|
+
((G == 0) & (P == 1) & (T == 0), "control, eligible, pre"),
|
|
781
|
+
((G == 0) & (P == 1) & (T == 1), "control, eligible, post"),
|
|
782
|
+
((G == 0) & (P == 0) & (T == 0), "control, ineligible, pre"),
|
|
783
|
+
((G == 0) & (P == 0) & (T == 1), "control, ineligible, post"),
|
|
784
|
+
]
|
|
785
|
+
|
|
786
|
+
for mask, cell_name in cells:
|
|
787
|
+
n_cell = int(np.sum(mask))
|
|
788
|
+
if n_cell == 0:
|
|
789
|
+
raise ValueError(
|
|
790
|
+
f"No observations in cell: {cell_name}. "
|
|
791
|
+
"DDD requires observations in all 8 cells."
|
|
792
|
+
)
|
|
793
|
+
elif n_cell < _MIN_CELL_SIZE:
|
|
794
|
+
warnings.warn(
|
|
795
|
+
f"Low observation count ({n_cell}) in cell: {cell_name}. "
|
|
796
|
+
f"Estimates may be unreliable with fewer than "
|
|
797
|
+
f"{_MIN_CELL_SIZE} observations per cell.",
|
|
798
|
+
UserWarning,
|
|
799
|
+
stacklevel=2,
|
|
800
|
+
)
|
|
801
|
+
|
|
802
|
+
def _compute_cell_means(
|
|
803
|
+
self,
|
|
804
|
+
y: np.ndarray,
|
|
805
|
+
G: np.ndarray,
|
|
806
|
+
P: np.ndarray,
|
|
807
|
+
T: np.ndarray,
|
|
808
|
+
weights: Optional[np.ndarray] = None,
|
|
809
|
+
) -> Dict[str, float]:
|
|
810
|
+
"""Compute mean outcomes for each of the 8 DDD cells."""
|
|
811
|
+
means = {}
|
|
812
|
+
for g_val, g_name in [(1, "Treated"), (0, "Control")]:
|
|
813
|
+
for p_val, p_name in [(1, "Eligible"), (0, "Ineligible")]:
|
|
814
|
+
for t_val, t_name in [(0, "Pre"), (1, "Post")]:
|
|
815
|
+
mask = (G == g_val) & (P == p_val) & (T == t_val)
|
|
816
|
+
cell_name = f"{g_name}, {p_name}, {t_name}"
|
|
817
|
+
if weights is not None:
|
|
818
|
+
w_cell = weights[mask]
|
|
819
|
+
if np.sum(w_cell) <= 0:
|
|
820
|
+
raise ValueError(
|
|
821
|
+
f"Cell '{cell_name}' has zero effective survey "
|
|
822
|
+
f"weight. Cannot compute weighted cell mean. "
|
|
823
|
+
f"Check subpopulation/domain definition."
|
|
824
|
+
)
|
|
825
|
+
means[cell_name] = float(np.average(y[mask], weights=w_cell))
|
|
826
|
+
else:
|
|
827
|
+
means[cell_name] = float(np.mean(y[mask]))
|
|
828
|
+
return means
|
|
829
|
+
|
|
830
|
+
# =========================================================================
|
|
831
|
+
# Three-DiD Decomposition (matches R's triplediff::ddd())
|
|
832
|
+
# =========================================================================
|
|
833
|
+
#
|
|
834
|
+
# The DDD is decomposed into three pairwise DiD comparisons:
|
|
835
|
+
# DiD_3: subgroup 3 (G=1,P=0) vs subgroup 4 (G=1,P=1)
|
|
836
|
+
# DiD_2: subgroup 2 (G=0,P=1) vs subgroup 4 (G=1,P=1)
|
|
837
|
+
# DiD_1: subgroup 1 (G=0,P=0) vs subgroup 4 (G=1,P=1)
|
|
838
|
+
#
|
|
839
|
+
# DDD = DiD_3 + DiD_2 - DiD_1
|
|
840
|
+
#
|
|
841
|
+
# Each DiD uses the selected estimation method (DR, IPW, or RA).
|
|
842
|
+
# SE is computed from the combined influence function:
|
|
843
|
+
# inf = w3*inf_3 + w2*inf_2 - w1*inf_1
|
|
844
|
+
# SE = std(inf, ddof=1) / sqrt(n)
|
|
845
|
+
#
|
|
846
|
+
# Reference: Ortiz-Villavicencio & Sant'Anna (2025), implemented in
|
|
847
|
+
# R's triplediff::ddd() with panel=FALSE (repeated cross-section).
|
|
848
|
+
# =========================================================================
|
|
849
|
+
|
|
850
|
+
def _regression_adjustment(
|
|
851
|
+
self,
|
|
852
|
+
y: np.ndarray,
|
|
853
|
+
G: np.ndarray,
|
|
854
|
+
P: np.ndarray,
|
|
855
|
+
T: np.ndarray,
|
|
856
|
+
X: Optional[np.ndarray],
|
|
857
|
+
survey_weights: Optional[np.ndarray] = None,
|
|
858
|
+
resolved_survey=None,
|
|
859
|
+
) -> Tuple[float, float, Optional[float], Optional[Dict[str, float]], Dict[int, Dict[str, Any]]]:
|
|
860
|
+
"""
|
|
861
|
+
Estimate ATT using regression adjustment via three-DiD decomposition.
|
|
862
|
+
|
|
863
|
+
For each pairwise comparison (subgroup j vs subgroup 4), fits
|
|
864
|
+
separate outcome models per subgroup-time cell and computes
|
|
865
|
+
imputed counterfactual means. Matches R's triplediff::ddd()
|
|
866
|
+
with est_method="reg".
|
|
867
|
+
"""
|
|
868
|
+
return self._estimate_ddd_decomposition(
|
|
869
|
+
y,
|
|
870
|
+
G,
|
|
871
|
+
P,
|
|
872
|
+
T,
|
|
873
|
+
X,
|
|
874
|
+
survey_weights=survey_weights,
|
|
875
|
+
resolved_survey=resolved_survey,
|
|
876
|
+
)
|
|
877
|
+
|
|
878
|
+
def _ipw_estimation(
|
|
879
|
+
self,
|
|
880
|
+
y: np.ndarray,
|
|
881
|
+
G: np.ndarray,
|
|
882
|
+
P: np.ndarray,
|
|
883
|
+
T: np.ndarray,
|
|
884
|
+
X: Optional[np.ndarray],
|
|
885
|
+
survey_weights: Optional[np.ndarray] = None,
|
|
886
|
+
resolved_survey=None,
|
|
887
|
+
) -> Tuple[float, float, Optional[float], Optional[Dict[str, float]], Dict[int, Dict[str, Any]]]:
|
|
888
|
+
"""
|
|
889
|
+
Estimate ATT using inverse probability weighting via three-DiD
|
|
890
|
+
decomposition.
|
|
891
|
+
|
|
892
|
+
For each pairwise comparison, estimates propensity scores for
|
|
893
|
+
subgroup membership P(subgroup=4|X) within {j, 4} subset.
|
|
894
|
+
Matches R's triplediff::ddd() with est_method="ipw".
|
|
895
|
+
"""
|
|
896
|
+
return self._estimate_ddd_decomposition(
|
|
897
|
+
y,
|
|
898
|
+
G,
|
|
899
|
+
P,
|
|
900
|
+
T,
|
|
901
|
+
X,
|
|
902
|
+
survey_weights=survey_weights,
|
|
903
|
+
resolved_survey=resolved_survey,
|
|
904
|
+
)
|
|
905
|
+
|
|
906
|
+
def _doubly_robust(
|
|
907
|
+
self,
|
|
908
|
+
y: np.ndarray,
|
|
909
|
+
G: np.ndarray,
|
|
910
|
+
P: np.ndarray,
|
|
911
|
+
T: np.ndarray,
|
|
912
|
+
X: Optional[np.ndarray],
|
|
913
|
+
survey_weights: Optional[np.ndarray] = None,
|
|
914
|
+
resolved_survey=None,
|
|
915
|
+
) -> Tuple[float, float, Optional[float], Optional[Dict[str, float]], Dict[int, Dict[str, Any]]]:
|
|
916
|
+
"""
|
|
917
|
+
Estimate ATT using doubly robust estimation via three-DiD
|
|
918
|
+
decomposition.
|
|
919
|
+
|
|
920
|
+
Combines outcome regression and IPW for robustness: consistent
|
|
921
|
+
if either the outcome model or propensity score model is
|
|
922
|
+
correctly specified. Matches R's triplediff::ddd() with
|
|
923
|
+
est_method="dr".
|
|
924
|
+
"""
|
|
925
|
+
return self._estimate_ddd_decomposition(
|
|
926
|
+
y,
|
|
927
|
+
G,
|
|
928
|
+
P,
|
|
929
|
+
T,
|
|
930
|
+
X,
|
|
931
|
+
survey_weights=survey_weights,
|
|
932
|
+
resolved_survey=resolved_survey,
|
|
933
|
+
)
|
|
934
|
+
|
|
935
|
+
def _estimate_ddd_decomposition(
|
|
936
|
+
self,
|
|
937
|
+
y: np.ndarray,
|
|
938
|
+
G: np.ndarray,
|
|
939
|
+
P: np.ndarray,
|
|
940
|
+
T: np.ndarray,
|
|
941
|
+
X: Optional[np.ndarray],
|
|
942
|
+
survey_weights: Optional[np.ndarray] = None,
|
|
943
|
+
resolved_survey=None,
|
|
944
|
+
) -> Tuple[float, float, Optional[float], Optional[Dict[str, float]], Dict[int, Dict[str, Any]]]:
|
|
945
|
+
"""
|
|
946
|
+
Core DDD estimation via three-DiD decomposition.
|
|
947
|
+
|
|
948
|
+
Implements the methodology from Ortiz-Villavicencio & Sant'Anna
|
|
949
|
+
(2025), matching R's triplediff::ddd() for repeated cross-section
|
|
950
|
+
data (panel=FALSE).
|
|
951
|
+
|
|
952
|
+
The DDD is decomposed into three pairwise DiD comparisons,
|
|
953
|
+
each using the selected estimation method (DR, IPW, or RA):
|
|
954
|
+
DDD = DiD_3 + DiD_2 - DiD_1
|
|
955
|
+
|
|
956
|
+
Standard errors use the efficient influence function:
|
|
957
|
+
SE = std(w3*IF_3 + w2*IF_2 - w1*IF_1) / sqrt(n)
|
|
958
|
+
|
|
959
|
+
When resolved_survey is provided, survey-weighted SE is computed
|
|
960
|
+
using TSL on the combined influence function.
|
|
961
|
+
"""
|
|
962
|
+
n = len(y)
|
|
963
|
+
est_method = self.estimation_method
|
|
964
|
+
|
|
965
|
+
# Assign subgroups following R convention:
|
|
966
|
+
# 4: G=1, P=1 (treated, eligible - reference/"treated")
|
|
967
|
+
# 3: G=1, P=0 (treated, ineligible)
|
|
968
|
+
# 2: G=0, P=1 (control, eligible)
|
|
969
|
+
# 1: G=0, P=0 (control, ineligible)
|
|
970
|
+
subgroup = np.zeros(n, dtype=int)
|
|
971
|
+
subgroup[(G == 1) & (P == 1)] = 4
|
|
972
|
+
subgroup[(G == 1) & (P == 0)] = 3
|
|
973
|
+
subgroup[(G == 0) & (P == 1)] = 2
|
|
974
|
+
subgroup[(G == 0) & (P == 0)] = 1
|
|
975
|
+
|
|
976
|
+
post = T.astype(float)
|
|
977
|
+
|
|
978
|
+
# Covariate matrix (always includes intercept)
|
|
979
|
+
if X is not None and X.shape[1] > 0:
|
|
980
|
+
covX = np.column_stack([np.ones(n), X])
|
|
981
|
+
has_covariates = True
|
|
982
|
+
else:
|
|
983
|
+
covX = np.ones((n, 1))
|
|
984
|
+
has_covariates = False
|
|
985
|
+
|
|
986
|
+
# Three DiD comparisons: j vs 4 for j in {3, 2, 1}
|
|
987
|
+
did_results = {}
|
|
988
|
+
pscore_stats = None
|
|
989
|
+
all_pscores = {} # Collect pscores for diagnostics
|
|
990
|
+
overlap_issues = [] # Collect overlap diagnostics across comparisons
|
|
991
|
+
any_nonfinite_if = False
|
|
992
|
+
epv_all = {} # Collect EPV diagnostics per subgroup comparison
|
|
993
|
+
|
|
994
|
+
with np.errstate(divide="ignore", invalid="ignore", over="ignore"):
|
|
995
|
+
for j in [3, 2, 1]:
|
|
996
|
+
mask = (subgroup == j) | (subgroup == 4)
|
|
997
|
+
y_sub = y[mask]
|
|
998
|
+
post_sub = post[mask]
|
|
999
|
+
sg_sub = subgroup[mask]
|
|
1000
|
+
covX_sub = covX[mask]
|
|
1001
|
+
n_sub = len(y_sub)
|
|
1002
|
+
|
|
1003
|
+
PA4 = (sg_sub == 4).astype(float)
|
|
1004
|
+
PAa = (sg_sub == j).astype(float)
|
|
1005
|
+
|
|
1006
|
+
# Subset survey weights for this comparison (needed for logit)
|
|
1007
|
+
w_sub = survey_weights[mask] if survey_weights is not None else None
|
|
1008
|
+
|
|
1009
|
+
# --- Propensity scores ---
|
|
1010
|
+
if est_method == "reg":
|
|
1011
|
+
# RA: no propensity scores needed
|
|
1012
|
+
pscore_sub = np.ones(n_sub)
|
|
1013
|
+
hessian = None
|
|
1014
|
+
elif has_covariates:
|
|
1015
|
+
# Logistic regression: P(subgroup=4 | X) within {j, 4}
|
|
1016
|
+
ps_estimated = True
|
|
1017
|
+
diag = {}
|
|
1018
|
+
try:
|
|
1019
|
+
_, pscore_sub = solve_logit(
|
|
1020
|
+
covX_sub[:, 1:],
|
|
1021
|
+
PA4,
|
|
1022
|
+
rank_deficient_action=self.rank_deficient_action,
|
|
1023
|
+
weights=w_sub,
|
|
1024
|
+
epv_threshold=self.epv_threshold,
|
|
1025
|
+
context_label=f"subgroup {j} vs 4",
|
|
1026
|
+
diagnostics_out=diag,
|
|
1027
|
+
)
|
|
1028
|
+
except Exception:
|
|
1029
|
+
if (
|
|
1030
|
+
self.pscore_fallback == "error"
|
|
1031
|
+
or self.rank_deficient_action == "error"
|
|
1032
|
+
):
|
|
1033
|
+
raise
|
|
1034
|
+
if w_sub is not None:
|
|
1035
|
+
pos = w_sub > 0
|
|
1036
|
+
if np.any(pos):
|
|
1037
|
+
p_uc = float(np.average(PA4[pos], weights=w_sub[pos]))
|
|
1038
|
+
else:
|
|
1039
|
+
p_uc = float(np.mean(PA4))
|
|
1040
|
+
else:
|
|
1041
|
+
p_uc = float(np.mean(PA4))
|
|
1042
|
+
pscore_sub = np.full(n_sub, p_uc)
|
|
1043
|
+
ps_estimated = False
|
|
1044
|
+
warnings.warn(
|
|
1045
|
+
f"Propensity score estimation failed for subgroup "
|
|
1046
|
+
f"{j} vs 4; using unconditional probability. "
|
|
1047
|
+
f"For DR, outcome regression still uses covariates. "
|
|
1048
|
+
f"Consider estimation_method='reg' to avoid propensity "
|
|
1049
|
+
f"scores entirely.",
|
|
1050
|
+
UserWarning,
|
|
1051
|
+
stacklevel=3,
|
|
1052
|
+
)
|
|
1053
|
+
if diag:
|
|
1054
|
+
epv_all[j] = diag
|
|
1055
|
+
|
|
1056
|
+
pscore_sub = np.clip(pscore_sub, self.pscore_trim, 1 - self.pscore_trim)
|
|
1057
|
+
all_pscores[j] = pscore_sub
|
|
1058
|
+
|
|
1059
|
+
# Check overlap: count obs at trim bounds
|
|
1060
|
+
# (1e-10 tolerance for floating-point after np.clip)
|
|
1061
|
+
n_trimmed = int(
|
|
1062
|
+
np.sum(
|
|
1063
|
+
(pscore_sub <= self.pscore_trim + 1e-10)
|
|
1064
|
+
| (pscore_sub >= 1 - self.pscore_trim - 1e-10)
|
|
1065
|
+
)
|
|
1066
|
+
)
|
|
1067
|
+
frac_trimmed = n_trimmed / len(pscore_sub)
|
|
1068
|
+
if frac_trimmed > 0.05:
|
|
1069
|
+
overlap_issues.append((j, frac_trimmed))
|
|
1070
|
+
|
|
1071
|
+
# Hessian only when PS was actually estimated
|
|
1072
|
+
if ps_estimated:
|
|
1073
|
+
W_ps = pscore_sub * (1 - pscore_sub)
|
|
1074
|
+
if w_sub is not None:
|
|
1075
|
+
W_ps = W_ps * w_sub
|
|
1076
|
+
try:
|
|
1077
|
+
XWX = covX_sub.T @ (W_ps[:, None] * covX_sub)
|
|
1078
|
+
hessian = np.linalg.inv(XWX) * n_sub
|
|
1079
|
+
except np.linalg.LinAlgError:
|
|
1080
|
+
hessian = np.linalg.pinv(XWX) * n_sub
|
|
1081
|
+
else:
|
|
1082
|
+
hessian = None
|
|
1083
|
+
else:
|
|
1084
|
+
# No covariates: unconditional probability
|
|
1085
|
+
pscore_sub = np.full(n_sub, np.mean(PA4))
|
|
1086
|
+
pscore_sub = np.clip(pscore_sub, self.pscore_trim, 1 - self.pscore_trim)
|
|
1087
|
+
# Check overlap (same logic as covariate branch)
|
|
1088
|
+
n_trimmed = int(
|
|
1089
|
+
np.sum(
|
|
1090
|
+
(pscore_sub <= self.pscore_trim + 1e-10)
|
|
1091
|
+
| (pscore_sub >= 1 - self.pscore_trim - 1e-10)
|
|
1092
|
+
)
|
|
1093
|
+
)
|
|
1094
|
+
frac_trimmed = n_trimmed / len(pscore_sub)
|
|
1095
|
+
if frac_trimmed > 0.05:
|
|
1096
|
+
overlap_issues.append((j, frac_trimmed))
|
|
1097
|
+
hessian = None
|
|
1098
|
+
|
|
1099
|
+
# --- Outcome regression ---
|
|
1100
|
+
if est_method == "ipw":
|
|
1101
|
+
# IPW: no outcome regression
|
|
1102
|
+
or_ctrl_pre = np.zeros(n_sub)
|
|
1103
|
+
or_ctrl_post = np.zeros(n_sub)
|
|
1104
|
+
or_trt_pre = np.zeros(n_sub)
|
|
1105
|
+
or_trt_post = np.zeros(n_sub)
|
|
1106
|
+
else:
|
|
1107
|
+
# Fit separate OLS per subgroup-time cell, predict for all
|
|
1108
|
+
or_ctrl_pre = self._fit_predict_mu(
|
|
1109
|
+
y_sub,
|
|
1110
|
+
covX_sub,
|
|
1111
|
+
sg_sub == j,
|
|
1112
|
+
post_sub == 0,
|
|
1113
|
+
n_sub,
|
|
1114
|
+
weights=w_sub,
|
|
1115
|
+
)
|
|
1116
|
+
or_ctrl_post = self._fit_predict_mu(
|
|
1117
|
+
y_sub,
|
|
1118
|
+
covX_sub,
|
|
1119
|
+
sg_sub == j,
|
|
1120
|
+
post_sub == 1,
|
|
1121
|
+
n_sub,
|
|
1122
|
+
weights=w_sub,
|
|
1123
|
+
)
|
|
1124
|
+
or_trt_pre = self._fit_predict_mu(
|
|
1125
|
+
y_sub,
|
|
1126
|
+
covX_sub,
|
|
1127
|
+
sg_sub == 4,
|
|
1128
|
+
post_sub == 0,
|
|
1129
|
+
n_sub,
|
|
1130
|
+
weights=w_sub,
|
|
1131
|
+
)
|
|
1132
|
+
or_trt_post = self._fit_predict_mu(
|
|
1133
|
+
y_sub,
|
|
1134
|
+
covX_sub,
|
|
1135
|
+
sg_sub == 4,
|
|
1136
|
+
post_sub == 1,
|
|
1137
|
+
n_sub,
|
|
1138
|
+
weights=w_sub,
|
|
1139
|
+
)
|
|
1140
|
+
|
|
1141
|
+
# --- Compute DiD ATT and influence function ---
|
|
1142
|
+
att_j, inf_j = self._compute_did_rc(
|
|
1143
|
+
y_sub,
|
|
1144
|
+
post_sub,
|
|
1145
|
+
PA4,
|
|
1146
|
+
PAa,
|
|
1147
|
+
pscore_sub,
|
|
1148
|
+
covX_sub,
|
|
1149
|
+
or_ctrl_pre,
|
|
1150
|
+
or_ctrl_post,
|
|
1151
|
+
or_trt_pre,
|
|
1152
|
+
or_trt_post,
|
|
1153
|
+
hessian,
|
|
1154
|
+
est_method,
|
|
1155
|
+
n_sub,
|
|
1156
|
+
weights=w_sub,
|
|
1157
|
+
)
|
|
1158
|
+
|
|
1159
|
+
# Track non-finite IF values (flag for NaN SE later)
|
|
1160
|
+
if not np.all(np.isfinite(inf_j)):
|
|
1161
|
+
any_nonfinite_if = True
|
|
1162
|
+
inf_j = np.where(np.isfinite(inf_j), inf_j, 0.0)
|
|
1163
|
+
|
|
1164
|
+
# Pad influence function to full length
|
|
1165
|
+
inf_full = np.zeros(n)
|
|
1166
|
+
inf_full[mask] = inf_j
|
|
1167
|
+
|
|
1168
|
+
did_results[j] = {"att": att_j, "inf": inf_full}
|
|
1169
|
+
|
|
1170
|
+
# Emit overlap warning if >5% of observations trimmed in any comparison
|
|
1171
|
+
if overlap_issues:
|
|
1172
|
+
details = ", ".join(f"subgroup {j} vs 4: {frac:.0%}" for j, frac in overlap_issues)
|
|
1173
|
+
warnings.warn(
|
|
1174
|
+
f"Poor propensity score overlap ({details} of observations "
|
|
1175
|
+
f"trimmed at bounds). IPW/DR estimates may be unreliable.",
|
|
1176
|
+
UserWarning,
|
|
1177
|
+
stacklevel=3,
|
|
1178
|
+
)
|
|
1179
|
+
|
|
1180
|
+
# --- Combine three DiDs ---
|
|
1181
|
+
att = (
|
|
1182
|
+
float(did_results[3]["att"])
|
|
1183
|
+
+ float(did_results[2]["att"])
|
|
1184
|
+
- float(did_results[1]["att"])
|
|
1185
|
+
)
|
|
1186
|
+
|
|
1187
|
+
# Influence function weights (matching R's att_dr_rc)
|
|
1188
|
+
if survey_weights is not None:
|
|
1189
|
+
n3 = np.sum(survey_weights[(subgroup == 3) | (subgroup == 4)])
|
|
1190
|
+
n2 = np.sum(survey_weights[(subgroup == 2) | (subgroup == 4)])
|
|
1191
|
+
n1 = np.sum(survey_weights[(subgroup == 1) | (subgroup == 4)])
|
|
1192
|
+
n_total = np.sum(survey_weights)
|
|
1193
|
+
else:
|
|
1194
|
+
n3 = np.sum((subgroup == 3) | (subgroup == 4))
|
|
1195
|
+
n2 = np.sum((subgroup == 2) | (subgroup == 4))
|
|
1196
|
+
n1 = np.sum((subgroup == 1) | (subgroup == 4))
|
|
1197
|
+
n_total = n
|
|
1198
|
+
w3 = n_total / n3
|
|
1199
|
+
w2 = n_total / n2
|
|
1200
|
+
w1 = n_total / n1
|
|
1201
|
+
|
|
1202
|
+
inf_func = (
|
|
1203
|
+
w3 * did_results[3]["inf"] + w2 * did_results[2]["inf"] - w1 * did_results[1]["inf"]
|
|
1204
|
+
)
|
|
1205
|
+
|
|
1206
|
+
if resolved_survey is not None:
|
|
1207
|
+
# Survey-weighted SE via TSL on the combined influence function.
|
|
1208
|
+
# For IPW/DR: pairwise IFs include survey weights via weighted Riesz
|
|
1209
|
+
# representers, so divide out to avoid double-weighting by TSL.
|
|
1210
|
+
# For reg: pairwise IFs are already on the unweighted scale (WLS
|
|
1211
|
+
# fits use weights but the IF is residual-based, not Riesz-weighted),
|
|
1212
|
+
# so pass directly to TSL without de-weighting.
|
|
1213
|
+
inf_for_tsl = inf_func.copy()
|
|
1214
|
+
if est_method in ("ipw", "dr") and survey_weights is not None:
|
|
1215
|
+
sw = survey_weights
|
|
1216
|
+
nz = sw > 0
|
|
1217
|
+
inf_for_tsl[nz] = inf_for_tsl[nz] / sw[nz]
|
|
1218
|
+
|
|
1219
|
+
if resolved_survey.uses_replicate_variance:
|
|
1220
|
+
from diff_diff.survey import compute_replicate_if_variance
|
|
1221
|
+
|
|
1222
|
+
# Score-scale to match TSL bread (1/sum(w)^2):
|
|
1223
|
+
# reg: psi = w * inf_func / sum(w)
|
|
1224
|
+
# ipw/dr: psi = inf_func / sum(w) (survey weights cancel)
|
|
1225
|
+
w_sum = float(resolved_survey.weights.sum())
|
|
1226
|
+
if est_method in ("ipw", "dr") and survey_weights is not None:
|
|
1227
|
+
psi_rep = inf_func / w_sum
|
|
1228
|
+
else:
|
|
1229
|
+
psi_rep = resolved_survey.weights * inf_func / w_sum
|
|
1230
|
+
variance, n_valid_rep = compute_replicate_if_variance(psi_rep, resolved_survey)
|
|
1231
|
+
se = float(np.sqrt(max(variance, 0.0))) if np.isfinite(variance) else np.nan
|
|
1232
|
+
# Store effective replicate count for df update in fit()
|
|
1233
|
+
self._replicate_n_valid = n_valid_rep
|
|
1234
|
+
else:
|
|
1235
|
+
from diff_diff.survey import compute_survey_vcov
|
|
1236
|
+
|
|
1237
|
+
vcov_survey = compute_survey_vcov(np.ones((n, 1)), inf_for_tsl, resolved_survey)
|
|
1238
|
+
se = float(np.sqrt(vcov_survey[0, 0]))
|
|
1239
|
+
elif self._cluster_ids is not None:
|
|
1240
|
+
# Cluster-robust SE: sum IF within clusters, then Liang-Zeger variance
|
|
1241
|
+
unique_clusters = np.unique(self._cluster_ids)
|
|
1242
|
+
n_clusters_val = len(unique_clusters)
|
|
1243
|
+
if n_clusters_val < 2:
|
|
1244
|
+
raise ValueError(
|
|
1245
|
+
f"Need at least 2 clusters for cluster-robust SEs, " f"got {n_clusters_val}"
|
|
1246
|
+
)
|
|
1247
|
+
cluster_sums = np.array(
|
|
1248
|
+
[np.sum(inf_func[self._cluster_ids == c]) for c in unique_clusters]
|
|
1249
|
+
)
|
|
1250
|
+
# V = (G/(G-1)) * (1/n^2) * sum(psi_c^2)
|
|
1251
|
+
se = float(
|
|
1252
|
+
np.sqrt((n_clusters_val / (n_clusters_val - 1)) * np.sum(cluster_sums**2) / n**2)
|
|
1253
|
+
)
|
|
1254
|
+
else:
|
|
1255
|
+
se = float(np.std(inf_func, ddof=1) / np.sqrt(n))
|
|
1256
|
+
|
|
1257
|
+
# Non-finite IF values make SE undefined
|
|
1258
|
+
if any_nonfinite_if:
|
|
1259
|
+
warnings.warn(
|
|
1260
|
+
"Non-finite values in influence function (likely due to "
|
|
1261
|
+
"extreme propensity scores or near-singular design). "
|
|
1262
|
+
"SE set to NaN.",
|
|
1263
|
+
UserWarning,
|
|
1264
|
+
stacklevel=3,
|
|
1265
|
+
)
|
|
1266
|
+
se = np.nan
|
|
1267
|
+
|
|
1268
|
+
# Propensity score stats (for IPW/DR with covariates)
|
|
1269
|
+
if has_covariates and est_method != "reg" and all_pscores:
|
|
1270
|
+
all_ps = np.concatenate(list(all_pscores.values()))
|
|
1271
|
+
pscore_stats = {
|
|
1272
|
+
"P(subgroup=4|X) mean": float(np.mean(all_ps)),
|
|
1273
|
+
"P(subgroup=4|X) std": float(np.std(all_ps)),
|
|
1274
|
+
"P(subgroup=4|X) min": float(np.min(all_ps)),
|
|
1275
|
+
"P(subgroup=4|X) max": float(np.max(all_ps)),
|
|
1276
|
+
}
|
|
1277
|
+
|
|
1278
|
+
# R-squared for regression-based methods
|
|
1279
|
+
r_squared = None
|
|
1280
|
+
if est_method in ("reg", "dr") and has_covariates:
|
|
1281
|
+
# Compute R-squared from fitted values on full data
|
|
1282
|
+
mu_fitted = np.zeros(n)
|
|
1283
|
+
for sg_val in [1, 2, 3, 4]:
|
|
1284
|
+
for t_val in [0, 1]:
|
|
1285
|
+
cell_mask = (subgroup == sg_val) & (post == t_val)
|
|
1286
|
+
if np.sum(cell_mask) > 0:
|
|
1287
|
+
X_fit = covX[cell_mask]
|
|
1288
|
+
y_fit = y[cell_mask]
|
|
1289
|
+
try:
|
|
1290
|
+
beta_rs, _, _ = solve_ols(
|
|
1291
|
+
X_fit,
|
|
1292
|
+
y_fit,
|
|
1293
|
+
rank_deficient_action=self.rank_deficient_action,
|
|
1294
|
+
)
|
|
1295
|
+
beta_rs = np.where(np.isnan(beta_rs), 0.0, beta_rs)
|
|
1296
|
+
mu_fitted[cell_mask] = X_fit @ beta_rs
|
|
1297
|
+
except (np.linalg.LinAlgError, ValueError):
|
|
1298
|
+
mu_fitted[cell_mask] = np.mean(y_fit)
|
|
1299
|
+
ss_res = np.sum((y - mu_fitted) ** 2)
|
|
1300
|
+
ss_tot = np.sum((y - np.mean(y)) ** 2)
|
|
1301
|
+
r_squared = 1 - (ss_res / ss_tot) if ss_tot > 0 else 0.0
|
|
1302
|
+
|
|
1303
|
+
return att, se, r_squared, pscore_stats, epv_all
|
|
1304
|
+
|
|
1305
|
+
def _fit_predict_mu(
|
|
1306
|
+
self,
|
|
1307
|
+
y: np.ndarray,
|
|
1308
|
+
covX: np.ndarray,
|
|
1309
|
+
subgroup_mask: np.ndarray,
|
|
1310
|
+
time_mask: np.ndarray,
|
|
1311
|
+
n_total: int,
|
|
1312
|
+
weights: Optional[np.ndarray] = None,
|
|
1313
|
+
) -> np.ndarray:
|
|
1314
|
+
"""Fit OLS (or WLS with survey weights) on a subgroup-time cell, predict for all observations."""
|
|
1315
|
+
fit_mask = subgroup_mask & time_mask
|
|
1316
|
+
n_fit = int(np.sum(fit_mask))
|
|
1317
|
+
|
|
1318
|
+
if n_fit == 0:
|
|
1319
|
+
return np.zeros(n_total)
|
|
1320
|
+
|
|
1321
|
+
X_fit = covX[fit_mask]
|
|
1322
|
+
y_fit = y[fit_mask]
|
|
1323
|
+
|
|
1324
|
+
try:
|
|
1325
|
+
if weights is not None:
|
|
1326
|
+
# WLS: transform by sqrt(weights) for weighted least squares
|
|
1327
|
+
w_fit = weights[fit_mask]
|
|
1328
|
+
# Check positive-weight effective sample — subpopulation()
|
|
1329
|
+
# can zero weights leaving rows but an underidentified WLS.
|
|
1330
|
+
n_eff = int(np.count_nonzero(w_fit > 0))
|
|
1331
|
+
n_cols = X_fit.shape[1]
|
|
1332
|
+
if n_eff <= n_cols:
|
|
1333
|
+
if np.sum(w_fit) > 0:
|
|
1334
|
+
return np.full(n_total, np.average(y_fit, weights=w_fit))
|
|
1335
|
+
return np.full(n_total, np.mean(y_fit))
|
|
1336
|
+
sqrt_w = np.sqrt(w_fit)
|
|
1337
|
+
beta, _, _ = solve_ols(
|
|
1338
|
+
X_fit * sqrt_w[:, np.newaxis],
|
|
1339
|
+
y_fit * sqrt_w,
|
|
1340
|
+
rank_deficient_action=self.rank_deficient_action,
|
|
1341
|
+
)
|
|
1342
|
+
else:
|
|
1343
|
+
beta, _, _ = solve_ols(
|
|
1344
|
+
X_fit,
|
|
1345
|
+
y_fit,
|
|
1346
|
+
rank_deficient_action=self.rank_deficient_action,
|
|
1347
|
+
)
|
|
1348
|
+
# Replace NaN coefficients (dropped columns) with 0 for prediction
|
|
1349
|
+
beta = np.where(np.isnan(beta), 0.0, beta)
|
|
1350
|
+
except ValueError:
|
|
1351
|
+
if self.rank_deficient_action == "error":
|
|
1352
|
+
raise
|
|
1353
|
+
if weights is not None:
|
|
1354
|
+
return np.full(n_total, np.average(y_fit, weights=weights[fit_mask]))
|
|
1355
|
+
return np.full(n_total, np.mean(y_fit))
|
|
1356
|
+
except np.linalg.LinAlgError:
|
|
1357
|
+
if weights is not None:
|
|
1358
|
+
return np.full(n_total, np.average(y_fit, weights=weights[fit_mask]))
|
|
1359
|
+
return np.full(n_total, np.mean(y_fit))
|
|
1360
|
+
|
|
1361
|
+
# Prediction uses original-scale X (unchanged)
|
|
1362
|
+
return covX @ beta
|
|
1363
|
+
|
|
1364
|
+
def _compute_did_rc(
|
|
1365
|
+
self,
|
|
1366
|
+
y: np.ndarray,
|
|
1367
|
+
post: np.ndarray,
|
|
1368
|
+
PA4: np.ndarray,
|
|
1369
|
+
PAa: np.ndarray,
|
|
1370
|
+
pscore: np.ndarray,
|
|
1371
|
+
covX: np.ndarray,
|
|
1372
|
+
or_ctrl_pre: np.ndarray,
|
|
1373
|
+
or_ctrl_post: np.ndarray,
|
|
1374
|
+
or_trt_pre: np.ndarray,
|
|
1375
|
+
or_trt_post: np.ndarray,
|
|
1376
|
+
hessian: Optional[np.ndarray],
|
|
1377
|
+
est_method: str,
|
|
1378
|
+
n: int,
|
|
1379
|
+
weights: Optional[np.ndarray] = None,
|
|
1380
|
+
) -> Tuple[float, np.ndarray]:
|
|
1381
|
+
"""
|
|
1382
|
+
Compute a single pairwise DiD (subgroup j vs 4) for RC data.
|
|
1383
|
+
|
|
1384
|
+
Returns ATT and per-observation influence function.
|
|
1385
|
+
Matches R's triplediff::compute_did_rc().
|
|
1386
|
+
"""
|
|
1387
|
+
if est_method == "ipw":
|
|
1388
|
+
return self._compute_did_rc_ipw(
|
|
1389
|
+
y,
|
|
1390
|
+
post,
|
|
1391
|
+
PA4,
|
|
1392
|
+
PAa,
|
|
1393
|
+
pscore,
|
|
1394
|
+
covX,
|
|
1395
|
+
hessian,
|
|
1396
|
+
n,
|
|
1397
|
+
weights=weights,
|
|
1398
|
+
)
|
|
1399
|
+
elif est_method == "reg":
|
|
1400
|
+
return self._compute_did_rc_reg(
|
|
1401
|
+
y,
|
|
1402
|
+
post,
|
|
1403
|
+
PA4,
|
|
1404
|
+
PAa,
|
|
1405
|
+
covX,
|
|
1406
|
+
or_ctrl_pre,
|
|
1407
|
+
or_ctrl_post,
|
|
1408
|
+
or_trt_pre,
|
|
1409
|
+
or_trt_post,
|
|
1410
|
+
n,
|
|
1411
|
+
weights=weights,
|
|
1412
|
+
)
|
|
1413
|
+
else:
|
|
1414
|
+
return self._compute_did_rc_dr(
|
|
1415
|
+
y,
|
|
1416
|
+
post,
|
|
1417
|
+
PA4,
|
|
1418
|
+
PAa,
|
|
1419
|
+
pscore,
|
|
1420
|
+
covX,
|
|
1421
|
+
or_ctrl_pre,
|
|
1422
|
+
or_ctrl_post,
|
|
1423
|
+
or_trt_pre,
|
|
1424
|
+
or_trt_post,
|
|
1425
|
+
hessian,
|
|
1426
|
+
n,
|
|
1427
|
+
weights=weights,
|
|
1428
|
+
)
|
|
1429
|
+
|
|
1430
|
+
def _compute_did_rc_ipw(
|
|
1431
|
+
self,
|
|
1432
|
+
y: np.ndarray,
|
|
1433
|
+
post: np.ndarray,
|
|
1434
|
+
PA4: np.ndarray,
|
|
1435
|
+
PAa: np.ndarray,
|
|
1436
|
+
pscore: np.ndarray,
|
|
1437
|
+
covX: np.ndarray,
|
|
1438
|
+
hessian: Optional[np.ndarray],
|
|
1439
|
+
n: int,
|
|
1440
|
+
weights: Optional[np.ndarray] = None,
|
|
1441
|
+
) -> Tuple[float, np.ndarray]:
|
|
1442
|
+
"""IPW DiD for a single pairwise comparison (RC)."""
|
|
1443
|
+
# Riesz representers (IPW weights * indicators)
|
|
1444
|
+
riesz_treat_pre = PA4 * (1 - post)
|
|
1445
|
+
riesz_treat_post = PA4 * post
|
|
1446
|
+
riesz_control_pre = pscore * PAa * (1 - post) / (1 - pscore)
|
|
1447
|
+
riesz_control_post = pscore * PAa * post / (1 - pscore)
|
|
1448
|
+
|
|
1449
|
+
# Incorporate survey weights into Riesz representers
|
|
1450
|
+
if weights is not None:
|
|
1451
|
+
riesz_treat_pre = riesz_treat_pre * weights
|
|
1452
|
+
riesz_treat_post = riesz_treat_post * weights
|
|
1453
|
+
riesz_control_pre = riesz_control_pre * weights
|
|
1454
|
+
riesz_control_post = riesz_control_post * weights
|
|
1455
|
+
|
|
1456
|
+
# Hajek-normalized cell-time means
|
|
1457
|
+
def _hajek(riesz, y_vals):
|
|
1458
|
+
denom = np.mean(riesz)
|
|
1459
|
+
if denom <= 0:
|
|
1460
|
+
return np.zeros_like(riesz), 0.0
|
|
1461
|
+
eta = riesz * y_vals / denom
|
|
1462
|
+
return eta, float(np.mean(eta))
|
|
1463
|
+
|
|
1464
|
+
eta_treat_pre, att_treat_pre = _hajek(riesz_treat_pre, y)
|
|
1465
|
+
eta_treat_post, att_treat_post = _hajek(riesz_treat_post, y)
|
|
1466
|
+
eta_control_pre, att_control_pre = _hajek(riesz_control_pre, y)
|
|
1467
|
+
eta_control_post, att_control_post = _hajek(riesz_control_post, y)
|
|
1468
|
+
|
|
1469
|
+
att = (att_treat_post - att_treat_pre) - (att_control_post - att_control_pre)
|
|
1470
|
+
|
|
1471
|
+
# Influence function
|
|
1472
|
+
inf_treat_pre = eta_treat_pre - riesz_treat_pre * att_treat_pre / np.mean(riesz_treat_pre)
|
|
1473
|
+
inf_treat_post = eta_treat_post - riesz_treat_post * att_treat_post / np.mean(
|
|
1474
|
+
riesz_treat_post
|
|
1475
|
+
)
|
|
1476
|
+
inf_treat = inf_treat_post - inf_treat_pre
|
|
1477
|
+
|
|
1478
|
+
inf_control_pre = eta_control_pre - riesz_control_pre * att_control_pre / np.mean(
|
|
1479
|
+
riesz_control_pre
|
|
1480
|
+
)
|
|
1481
|
+
inf_control_post = eta_control_post - riesz_control_post * att_control_post / np.mean(
|
|
1482
|
+
riesz_control_post
|
|
1483
|
+
)
|
|
1484
|
+
inf_control = inf_control_post - inf_control_pre
|
|
1485
|
+
|
|
1486
|
+
# Propensity score correction for influence function
|
|
1487
|
+
if hessian is not None:
|
|
1488
|
+
score_ps = (PA4 - pscore)[:, None] * covX
|
|
1489
|
+
if weights is not None:
|
|
1490
|
+
score_ps = score_ps * weights[:, None]
|
|
1491
|
+
asy_lin_rep_ps = score_ps @ hessian
|
|
1492
|
+
|
|
1493
|
+
# Riesz representers already incorporate survey weights,
|
|
1494
|
+
# so use np.mean (not np.average with weights) to avoid double-weighting.
|
|
1495
|
+
M2_pre = np.mean(
|
|
1496
|
+
(riesz_control_pre * (y - att_control_pre))[:, None] * covX,
|
|
1497
|
+
axis=0,
|
|
1498
|
+
) / np.mean(riesz_control_pre)
|
|
1499
|
+
M2_post = np.mean(
|
|
1500
|
+
(riesz_control_post * (y - att_control_post))[:, None] * covX,
|
|
1501
|
+
axis=0,
|
|
1502
|
+
) / np.mean(riesz_control_post)
|
|
1503
|
+
inf_control_ps = asy_lin_rep_ps @ (M2_post - M2_pre)
|
|
1504
|
+
inf_control = inf_control + inf_control_ps
|
|
1505
|
+
|
|
1506
|
+
inf_func = inf_treat - inf_control
|
|
1507
|
+
return att, inf_func
|
|
1508
|
+
|
|
1509
|
+
def _compute_did_rc_reg(
|
|
1510
|
+
self,
|
|
1511
|
+
y: np.ndarray,
|
|
1512
|
+
post: np.ndarray,
|
|
1513
|
+
PA4: np.ndarray,
|
|
1514
|
+
PAa: np.ndarray,
|
|
1515
|
+
covX: np.ndarray,
|
|
1516
|
+
or_ctrl_pre: np.ndarray,
|
|
1517
|
+
or_ctrl_post: np.ndarray,
|
|
1518
|
+
or_trt_pre: np.ndarray,
|
|
1519
|
+
or_trt_post: np.ndarray,
|
|
1520
|
+
n: int,
|
|
1521
|
+
weights: Optional[np.ndarray] = None,
|
|
1522
|
+
) -> Tuple[float, np.ndarray]:
|
|
1523
|
+
"""Regression adjustment DiD for a single pairwise comparison (RC)."""
|
|
1524
|
+
|
|
1525
|
+
# Helper: weighted or unweighted mean
|
|
1526
|
+
def _wmean(x):
|
|
1527
|
+
if weights is not None:
|
|
1528
|
+
return np.average(x, weights=weights)
|
|
1529
|
+
return np.mean(x)
|
|
1530
|
+
|
|
1531
|
+
# Riesz representers
|
|
1532
|
+
riesz_treat_pre = PA4 * (1 - post)
|
|
1533
|
+
riesz_treat_post = PA4 * post
|
|
1534
|
+
riesz_control = PA4 # weights for OR prediction
|
|
1535
|
+
|
|
1536
|
+
# ATT components
|
|
1537
|
+
reg_att_treat_pre = riesz_treat_pre * y
|
|
1538
|
+
reg_att_treat_post = riesz_treat_post * y
|
|
1539
|
+
reg_att_control = riesz_control * (or_ctrl_post - or_ctrl_pre)
|
|
1540
|
+
|
|
1541
|
+
eta_treat_pre = _wmean(reg_att_treat_pre) / _wmean(riesz_treat_pre)
|
|
1542
|
+
eta_treat_post = _wmean(reg_att_treat_post) / _wmean(riesz_treat_post)
|
|
1543
|
+
eta_control = _wmean(reg_att_control) / _wmean(riesz_control)
|
|
1544
|
+
|
|
1545
|
+
att = (eta_treat_post - eta_treat_pre) - eta_control
|
|
1546
|
+
|
|
1547
|
+
# Influence function
|
|
1548
|
+
# OLS asymptotic linear representation for pre/post
|
|
1549
|
+
# When survey weights present, include them in both score and bread
|
|
1550
|
+
# for consistency with the weighted OLS fit
|
|
1551
|
+
weights_ols_pre = PAa * (1 - post)
|
|
1552
|
+
if weights is not None:
|
|
1553
|
+
wols_x_pre = (weights_ols_pre * weights)[:, None] * covX
|
|
1554
|
+
wols_eX_pre = (weights_ols_pre * weights * (y - or_ctrl_pre))[:, None] * covX
|
|
1555
|
+
XpX_pre = wols_x_pre.T @ covX / n
|
|
1556
|
+
else:
|
|
1557
|
+
wols_x_pre = weights_ols_pre[:, None] * covX
|
|
1558
|
+
wols_eX_pre = (weights_ols_pre * (y - or_ctrl_pre))[:, None] * covX
|
|
1559
|
+
XpX_pre = wols_x_pre.T @ covX / n
|
|
1560
|
+
try:
|
|
1561
|
+
XpX_inv_pre = np.linalg.inv(XpX_pre)
|
|
1562
|
+
except np.linalg.LinAlgError:
|
|
1563
|
+
XpX_inv_pre = np.linalg.pinv(XpX_pre)
|
|
1564
|
+
asy_lin_rep_ols_pre = wols_eX_pre @ XpX_inv_pre
|
|
1565
|
+
|
|
1566
|
+
weights_ols_post = PAa * post
|
|
1567
|
+
if weights is not None:
|
|
1568
|
+
wols_x_post = (weights_ols_post * weights)[:, None] * covX
|
|
1569
|
+
wols_eX_post = (weights_ols_post * weights * (y - or_ctrl_post))[:, None] * covX
|
|
1570
|
+
XpX_post = wols_x_post.T @ covX / n
|
|
1571
|
+
else:
|
|
1572
|
+
wols_x_post = weights_ols_post[:, None] * covX
|
|
1573
|
+
wols_eX_post = (weights_ols_post * (y - or_ctrl_post))[:, None] * covX
|
|
1574
|
+
XpX_post = wols_x_post.T @ covX / n
|
|
1575
|
+
try:
|
|
1576
|
+
XpX_inv_post = np.linalg.inv(XpX_post)
|
|
1577
|
+
except np.linalg.LinAlgError:
|
|
1578
|
+
XpX_inv_post = np.linalg.pinv(XpX_post)
|
|
1579
|
+
asy_lin_rep_ols_post = wols_eX_post @ XpX_inv_post
|
|
1580
|
+
|
|
1581
|
+
inf_treat_pre = (reg_att_treat_pre - riesz_treat_pre * eta_treat_pre) / _wmean(
|
|
1582
|
+
riesz_treat_pre
|
|
1583
|
+
)
|
|
1584
|
+
inf_treat_post = (reg_att_treat_post - riesz_treat_post * eta_treat_post) / _wmean(
|
|
1585
|
+
riesz_treat_post
|
|
1586
|
+
)
|
|
1587
|
+
inf_treat = inf_treat_post - inf_treat_pre
|
|
1588
|
+
|
|
1589
|
+
inf_control_1 = reg_att_control - riesz_control * eta_control
|
|
1590
|
+
if weights is not None:
|
|
1591
|
+
M1 = np.average(riesz_control[:, None] * covX, axis=0, weights=weights)
|
|
1592
|
+
else:
|
|
1593
|
+
M1 = np.mean(riesz_control[:, None] * covX, axis=0)
|
|
1594
|
+
inf_control_2_post = asy_lin_rep_ols_post @ M1
|
|
1595
|
+
inf_control_2_pre = asy_lin_rep_ols_pre @ M1
|
|
1596
|
+
inf_control = (inf_control_1 + inf_control_2_post - inf_control_2_pre) / _wmean(
|
|
1597
|
+
riesz_control
|
|
1598
|
+
)
|
|
1599
|
+
|
|
1600
|
+
inf_func = inf_treat - inf_control
|
|
1601
|
+
return att, inf_func
|
|
1602
|
+
|
|
1603
|
+
def _compute_did_rc_dr(
|
|
1604
|
+
self,
|
|
1605
|
+
y: np.ndarray,
|
|
1606
|
+
post: np.ndarray,
|
|
1607
|
+
PA4: np.ndarray,
|
|
1608
|
+
PAa: np.ndarray,
|
|
1609
|
+
pscore: np.ndarray,
|
|
1610
|
+
covX: np.ndarray,
|
|
1611
|
+
or_ctrl_pre: np.ndarray,
|
|
1612
|
+
or_ctrl_post: np.ndarray,
|
|
1613
|
+
or_trt_pre: np.ndarray,
|
|
1614
|
+
or_trt_post: np.ndarray,
|
|
1615
|
+
hessian: Optional[np.ndarray],
|
|
1616
|
+
n: int,
|
|
1617
|
+
weights: Optional[np.ndarray] = None,
|
|
1618
|
+
) -> Tuple[float, np.ndarray]:
|
|
1619
|
+
"""Doubly robust DiD for a single pairwise comparison (RC)."""
|
|
1620
|
+
or_ctrl = post * or_ctrl_post + (1 - post) * or_ctrl_pre
|
|
1621
|
+
|
|
1622
|
+
# Riesz representers
|
|
1623
|
+
riesz_treat_pre = PA4 * (1 - post)
|
|
1624
|
+
riesz_treat_post = PA4 * post
|
|
1625
|
+
riesz_control_pre = pscore * PAa * (1 - post) / (1 - pscore)
|
|
1626
|
+
riesz_control_post = pscore * PAa * post / (1 - pscore)
|
|
1627
|
+
riesz_d = PA4
|
|
1628
|
+
riesz_dt1 = PA4 * post
|
|
1629
|
+
riesz_dt0 = PA4 * (1 - post)
|
|
1630
|
+
|
|
1631
|
+
# Incorporate survey weights into Riesz representers
|
|
1632
|
+
if weights is not None:
|
|
1633
|
+
riesz_treat_pre = riesz_treat_pre * weights
|
|
1634
|
+
riesz_treat_post = riesz_treat_post * weights
|
|
1635
|
+
riesz_control_pre = riesz_control_pre * weights
|
|
1636
|
+
riesz_control_post = riesz_control_post * weights
|
|
1637
|
+
riesz_d = riesz_d * weights
|
|
1638
|
+
riesz_dt1 = riesz_dt1 * weights
|
|
1639
|
+
riesz_dt0 = riesz_dt0 * weights
|
|
1640
|
+
|
|
1641
|
+
# DR cell-time components
|
|
1642
|
+
def _safe_ratio(num, denom):
|
|
1643
|
+
return num / denom if denom > 0 else 0.0
|
|
1644
|
+
|
|
1645
|
+
eta_treat_pre = riesz_treat_pre * (y - or_ctrl) * _safe_ratio(1, np.mean(riesz_treat_pre))
|
|
1646
|
+
eta_treat_post = (
|
|
1647
|
+
riesz_treat_post * (y - or_ctrl) * _safe_ratio(1, np.mean(riesz_treat_post))
|
|
1648
|
+
)
|
|
1649
|
+
eta_control_pre = (
|
|
1650
|
+
riesz_control_pre * (y - or_ctrl) * _safe_ratio(1, np.mean(riesz_control_pre))
|
|
1651
|
+
)
|
|
1652
|
+
eta_control_post = (
|
|
1653
|
+
riesz_control_post * (y - or_ctrl) * _safe_ratio(1, np.mean(riesz_control_post))
|
|
1654
|
+
)
|
|
1655
|
+
|
|
1656
|
+
# Efficiency correction (OR bias correction)
|
|
1657
|
+
eta_d_post = riesz_d * (or_trt_post - or_ctrl_post) * _safe_ratio(1, np.mean(riesz_d))
|
|
1658
|
+
eta_dt1_post = riesz_dt1 * (or_trt_post - or_ctrl_post) * _safe_ratio(1, np.mean(riesz_dt1))
|
|
1659
|
+
eta_d_pre = riesz_d * (or_trt_pre - or_ctrl_pre) * _safe_ratio(1, np.mean(riesz_d))
|
|
1660
|
+
eta_dt0_pre = riesz_dt0 * (or_trt_pre - or_ctrl_pre) * _safe_ratio(1, np.mean(riesz_dt0))
|
|
1661
|
+
|
|
1662
|
+
att_treat_pre = float(np.mean(eta_treat_pre))
|
|
1663
|
+
att_treat_post = float(np.mean(eta_treat_post))
|
|
1664
|
+
att_control_pre = float(np.mean(eta_control_pre))
|
|
1665
|
+
att_control_post = float(np.mean(eta_control_post))
|
|
1666
|
+
att_d_post = float(np.mean(eta_d_post))
|
|
1667
|
+
att_dt1_post = float(np.mean(eta_dt1_post))
|
|
1668
|
+
att_d_pre = float(np.mean(eta_d_pre))
|
|
1669
|
+
att_dt0_pre = float(np.mean(eta_dt0_pre))
|
|
1670
|
+
|
|
1671
|
+
att = (
|
|
1672
|
+
(att_treat_post - att_treat_pre)
|
|
1673
|
+
- (att_control_post - att_control_pre)
|
|
1674
|
+
+ (att_d_post - att_dt1_post)
|
|
1675
|
+
- (att_d_pre - att_dt0_pre)
|
|
1676
|
+
)
|
|
1677
|
+
|
|
1678
|
+
# --- Influence function ---
|
|
1679
|
+
# OLS asymptotic linear representations (control subgroup)
|
|
1680
|
+
weights_ols_pre = PAa * (1 - post)
|
|
1681
|
+
if weights is not None:
|
|
1682
|
+
wols_x_pre = (weights_ols_pre * weights)[:, None] * covX
|
|
1683
|
+
wols_eX_pre = (weights_ols_pre * weights * (y - or_ctrl_pre))[:, None] * covX
|
|
1684
|
+
XpX_pre = wols_x_pre.T @ covX / n
|
|
1685
|
+
else:
|
|
1686
|
+
wols_x_pre = weights_ols_pre[:, None] * covX
|
|
1687
|
+
wols_eX_pre = (weights_ols_pre * (y - or_ctrl_pre))[:, None] * covX
|
|
1688
|
+
XpX_pre = wols_x_pre.T @ covX / n
|
|
1689
|
+
try:
|
|
1690
|
+
XpX_inv_pre = np.linalg.inv(XpX_pre)
|
|
1691
|
+
except np.linalg.LinAlgError:
|
|
1692
|
+
XpX_inv_pre = np.linalg.pinv(XpX_pre)
|
|
1693
|
+
asy_lin_rep_ols_pre = wols_eX_pre @ XpX_inv_pre
|
|
1694
|
+
|
|
1695
|
+
weights_ols_post = PAa * post
|
|
1696
|
+
if weights is not None:
|
|
1697
|
+
wols_x_post = (weights_ols_post * weights)[:, None] * covX
|
|
1698
|
+
wols_eX_post = (weights_ols_post * weights * (y - or_ctrl_post))[:, None] * covX
|
|
1699
|
+
XpX_post = wols_x_post.T @ covX / n
|
|
1700
|
+
else:
|
|
1701
|
+
wols_x_post = weights_ols_post[:, None] * covX
|
|
1702
|
+
wols_eX_post = (weights_ols_post * (y - or_ctrl_post))[:, None] * covX
|
|
1703
|
+
XpX_post = wols_x_post.T @ covX / n
|
|
1704
|
+
try:
|
|
1705
|
+
XpX_inv_post = np.linalg.inv(XpX_post)
|
|
1706
|
+
except np.linalg.LinAlgError:
|
|
1707
|
+
XpX_inv_post = np.linalg.pinv(XpX_post)
|
|
1708
|
+
asy_lin_rep_ols_post = wols_eX_post @ XpX_inv_post
|
|
1709
|
+
|
|
1710
|
+
# OLS representations (treated subgroup)
|
|
1711
|
+
weights_ols_pre_treat = PA4 * (1 - post)
|
|
1712
|
+
if weights is not None:
|
|
1713
|
+
wols_x_pre_treat = (weights_ols_pre_treat * weights)[:, None] * covX
|
|
1714
|
+
wols_eX_pre_treat = (weights_ols_pre_treat * weights * (y - or_trt_pre))[:, None] * covX
|
|
1715
|
+
XpX_pre_treat = wols_x_pre_treat.T @ covX / n
|
|
1716
|
+
else:
|
|
1717
|
+
wols_x_pre_treat = weights_ols_pre_treat[:, None] * covX
|
|
1718
|
+
wols_eX_pre_treat = (weights_ols_pre_treat * (y - or_trt_pre))[:, None] * covX
|
|
1719
|
+
XpX_pre_treat = wols_x_pre_treat.T @ covX / n
|
|
1720
|
+
try:
|
|
1721
|
+
XpX_inv_pre_treat = np.linalg.inv(XpX_pre_treat)
|
|
1722
|
+
except np.linalg.LinAlgError:
|
|
1723
|
+
XpX_inv_pre_treat = np.linalg.pinv(XpX_pre_treat)
|
|
1724
|
+
asy_lin_rep_ols_pre_treat = wols_eX_pre_treat @ XpX_inv_pre_treat
|
|
1725
|
+
|
|
1726
|
+
weights_ols_post_treat = PA4 * post
|
|
1727
|
+
if weights is not None:
|
|
1728
|
+
wols_x_post_treat = (weights_ols_post_treat * weights)[:, None] * covX
|
|
1729
|
+
wols_eX_post_treat = (weights_ols_post_treat * weights * (y - or_trt_post))[
|
|
1730
|
+
:, None
|
|
1731
|
+
] * covX
|
|
1732
|
+
XpX_post_treat = wols_x_post_treat.T @ covX / n
|
|
1733
|
+
else:
|
|
1734
|
+
wols_x_post_treat = weights_ols_post_treat[:, None] * covX
|
|
1735
|
+
wols_eX_post_treat = (weights_ols_post_treat * (y - or_trt_post))[:, None] * covX
|
|
1736
|
+
XpX_post_treat = wols_x_post_treat.T @ covX / n
|
|
1737
|
+
try:
|
|
1738
|
+
XpX_inv_post_treat = np.linalg.inv(XpX_post_treat)
|
|
1739
|
+
except np.linalg.LinAlgError:
|
|
1740
|
+
XpX_inv_post_treat = np.linalg.pinv(XpX_post_treat)
|
|
1741
|
+
asy_lin_rep_ols_post_treat = wols_eX_post_treat @ XpX_inv_post_treat
|
|
1742
|
+
|
|
1743
|
+
# Propensity score linear representation
|
|
1744
|
+
score_ps = (PA4 - pscore)[:, None] * covX
|
|
1745
|
+
if weights is not None:
|
|
1746
|
+
score_ps = score_ps * weights[:, None]
|
|
1747
|
+
if hessian is not None:
|
|
1748
|
+
asy_lin_rep_ps = score_ps @ hessian
|
|
1749
|
+
else:
|
|
1750
|
+
asy_lin_rep_ps = np.zeros_like(score_ps)
|
|
1751
|
+
|
|
1752
|
+
# Treat influence function components
|
|
1753
|
+
m_riesz_treat_pre = np.mean(riesz_treat_pre)
|
|
1754
|
+
m_riesz_treat_post = np.mean(riesz_treat_post)
|
|
1755
|
+
|
|
1756
|
+
inf_treat_pre = (
|
|
1757
|
+
(eta_treat_pre - riesz_treat_pre * att_treat_pre / m_riesz_treat_pre)
|
|
1758
|
+
if m_riesz_treat_pre > 0
|
|
1759
|
+
else np.zeros(n)
|
|
1760
|
+
)
|
|
1761
|
+
inf_treat_post = (
|
|
1762
|
+
(eta_treat_post - riesz_treat_post * att_treat_post / m_riesz_treat_post)
|
|
1763
|
+
if m_riesz_treat_post > 0
|
|
1764
|
+
else np.zeros(n)
|
|
1765
|
+
)
|
|
1766
|
+
|
|
1767
|
+
# OR correction for treated
|
|
1768
|
+
# Riesz representers already incorporate survey weights,
|
|
1769
|
+
# so use np.mean (not weighted average) to avoid double-weighting.
|
|
1770
|
+
M1_post = (
|
|
1771
|
+
(-np.mean((riesz_treat_post * post)[:, None] * covX, axis=0) / m_riesz_treat_post)
|
|
1772
|
+
if m_riesz_treat_post > 0
|
|
1773
|
+
else np.zeros(covX.shape[1])
|
|
1774
|
+
)
|
|
1775
|
+
M1_pre = (
|
|
1776
|
+
(-np.mean((riesz_treat_pre * (1 - post))[:, None] * covX, axis=0) / m_riesz_treat_pre)
|
|
1777
|
+
if m_riesz_treat_pre > 0
|
|
1778
|
+
else np.zeros(covX.shape[1])
|
|
1779
|
+
)
|
|
1780
|
+
inf_treat_or_post = asy_lin_rep_ols_post @ M1_post
|
|
1781
|
+
inf_treat_or_pre = asy_lin_rep_ols_pre @ M1_pre
|
|
1782
|
+
|
|
1783
|
+
# Control influence function components
|
|
1784
|
+
m_riesz_control_pre = np.mean(riesz_control_pre)
|
|
1785
|
+
m_riesz_control_post = np.mean(riesz_control_post)
|
|
1786
|
+
|
|
1787
|
+
inf_control_pre = (
|
|
1788
|
+
(eta_control_pre - riesz_control_pre * att_control_pre / m_riesz_control_pre)
|
|
1789
|
+
if m_riesz_control_pre > 0
|
|
1790
|
+
else np.zeros(n)
|
|
1791
|
+
)
|
|
1792
|
+
inf_control_post = (
|
|
1793
|
+
(eta_control_post - riesz_control_post * att_control_post / m_riesz_control_post)
|
|
1794
|
+
if m_riesz_control_post > 0
|
|
1795
|
+
else np.zeros(n)
|
|
1796
|
+
)
|
|
1797
|
+
|
|
1798
|
+
# PS correction for control
|
|
1799
|
+
M2_pre = (
|
|
1800
|
+
(
|
|
1801
|
+
np.mean(
|
|
1802
|
+
(riesz_control_pre * (y - or_ctrl - att_control_pre))[:, None] * covX, axis=0
|
|
1803
|
+
)
|
|
1804
|
+
/ m_riesz_control_pre
|
|
1805
|
+
)
|
|
1806
|
+
if m_riesz_control_pre > 0
|
|
1807
|
+
else np.zeros(covX.shape[1])
|
|
1808
|
+
)
|
|
1809
|
+
M2_post = (
|
|
1810
|
+
(
|
|
1811
|
+
np.mean(
|
|
1812
|
+
(riesz_control_post * (y - or_ctrl - att_control_post))[:, None] * covX, axis=0
|
|
1813
|
+
)
|
|
1814
|
+
/ m_riesz_control_post
|
|
1815
|
+
)
|
|
1816
|
+
if m_riesz_control_post > 0
|
|
1817
|
+
else np.zeros(covX.shape[1])
|
|
1818
|
+
)
|
|
1819
|
+
inf_control_ps = asy_lin_rep_ps @ (M2_post - M2_pre)
|
|
1820
|
+
|
|
1821
|
+
# OR correction for control
|
|
1822
|
+
M3_post = (
|
|
1823
|
+
(-np.mean((riesz_control_post * post)[:, None] * covX, axis=0) / m_riesz_control_post)
|
|
1824
|
+
if m_riesz_control_post > 0
|
|
1825
|
+
else np.zeros(covX.shape[1])
|
|
1826
|
+
)
|
|
1827
|
+
M3_pre = (
|
|
1828
|
+
(
|
|
1829
|
+
-np.mean((riesz_control_pre * (1 - post))[:, None] * covX, axis=0)
|
|
1830
|
+
/ m_riesz_control_pre
|
|
1831
|
+
)
|
|
1832
|
+
if m_riesz_control_pre > 0
|
|
1833
|
+
else np.zeros(covX.shape[1])
|
|
1834
|
+
)
|
|
1835
|
+
inf_control_or_post = asy_lin_rep_ols_post @ M3_post
|
|
1836
|
+
inf_control_or_pre = asy_lin_rep_ols_pre @ M3_pre
|
|
1837
|
+
|
|
1838
|
+
# Efficiency correction
|
|
1839
|
+
m_riesz_d = np.mean(riesz_d)
|
|
1840
|
+
m_riesz_dt1 = np.mean(riesz_dt1)
|
|
1841
|
+
m_riesz_dt0 = np.mean(riesz_dt0)
|
|
1842
|
+
|
|
1843
|
+
inf_eff1 = (eta_d_post - riesz_d * att_d_post / m_riesz_d) if m_riesz_d > 0 else np.zeros(n)
|
|
1844
|
+
inf_eff2 = (
|
|
1845
|
+
(eta_dt1_post - riesz_dt1 * att_dt1_post / m_riesz_dt1)
|
|
1846
|
+
if m_riesz_dt1 > 0
|
|
1847
|
+
else np.zeros(n)
|
|
1848
|
+
)
|
|
1849
|
+
inf_eff3 = (eta_d_pre - riesz_d * att_d_pre / m_riesz_d) if m_riesz_d > 0 else np.zeros(n)
|
|
1850
|
+
inf_eff4 = (
|
|
1851
|
+
(eta_dt0_pre - riesz_dt0 * att_dt0_pre / m_riesz_dt0)
|
|
1852
|
+
if m_riesz_dt0 > 0
|
|
1853
|
+
else np.zeros(n)
|
|
1854
|
+
)
|
|
1855
|
+
inf_eff = (inf_eff1 - inf_eff2) - (inf_eff3 - inf_eff4)
|
|
1856
|
+
|
|
1857
|
+
# OR combination
|
|
1858
|
+
mom_post = (
|
|
1859
|
+
np.mean(
|
|
1860
|
+
(riesz_d[:, None] / m_riesz_d - riesz_dt1[:, None] / m_riesz_dt1) * covX, axis=0
|
|
1861
|
+
)
|
|
1862
|
+
if (m_riesz_d > 0 and m_riesz_dt1 > 0)
|
|
1863
|
+
else np.zeros(covX.shape[1])
|
|
1864
|
+
)
|
|
1865
|
+
mom_pre = (
|
|
1866
|
+
np.mean(
|
|
1867
|
+
(riesz_d[:, None] / m_riesz_d - riesz_dt0[:, None] / m_riesz_dt0) * covX, axis=0
|
|
1868
|
+
)
|
|
1869
|
+
if (m_riesz_d > 0 and m_riesz_dt0 > 0)
|
|
1870
|
+
else np.zeros(covX.shape[1])
|
|
1871
|
+
)
|
|
1872
|
+
inf_or_post = (asy_lin_rep_ols_post_treat - asy_lin_rep_ols_post) @ mom_post
|
|
1873
|
+
inf_or_pre = (asy_lin_rep_ols_pre_treat - asy_lin_rep_ols_pre) @ mom_pre
|
|
1874
|
+
|
|
1875
|
+
inf_treat_or = inf_treat_or_post + inf_treat_or_pre
|
|
1876
|
+
inf_control_or = inf_control_or_post + inf_control_or_pre
|
|
1877
|
+
inf_or = inf_or_post - inf_or_pre
|
|
1878
|
+
|
|
1879
|
+
inf_treat = inf_treat_post - inf_treat_pre + inf_treat_or
|
|
1880
|
+
inf_control = inf_control_post - inf_control_pre + inf_control_ps + inf_control_or
|
|
1881
|
+
|
|
1882
|
+
inf_func = inf_treat - inf_control + inf_eff + inf_or
|
|
1883
|
+
return att, inf_func
|
|
1884
|
+
|
|
1885
|
+
def get_params(self) -> Dict[str, Any]:
|
|
1886
|
+
"""
|
|
1887
|
+
Get estimator parameters (sklearn-compatible).
|
|
1888
|
+
|
|
1889
|
+
Returns
|
|
1890
|
+
-------
|
|
1891
|
+
Dict[str, Any]
|
|
1892
|
+
Estimator parameters.
|
|
1893
|
+
"""
|
|
1894
|
+
return {
|
|
1895
|
+
"estimation_method": self.estimation_method,
|
|
1896
|
+
"robust": self.robust,
|
|
1897
|
+
"cluster": self.cluster,
|
|
1898
|
+
"alpha": self.alpha,
|
|
1899
|
+
"pscore_trim": self.pscore_trim,
|
|
1900
|
+
"rank_deficient_action": self.rank_deficient_action,
|
|
1901
|
+
"epv_threshold": self.epv_threshold,
|
|
1902
|
+
"pscore_fallback": self.pscore_fallback,
|
|
1903
|
+
}
|
|
1904
|
+
|
|
1905
|
+
def set_params(self, **params) -> "TripleDifference":
|
|
1906
|
+
"""
|
|
1907
|
+
Set estimator parameters (sklearn-compatible).
|
|
1908
|
+
|
|
1909
|
+
Parameters
|
|
1910
|
+
----------
|
|
1911
|
+
**params
|
|
1912
|
+
Estimator parameters.
|
|
1913
|
+
|
|
1914
|
+
Returns
|
|
1915
|
+
-------
|
|
1916
|
+
self
|
|
1917
|
+
"""
|
|
1918
|
+
for key, value in params.items():
|
|
1919
|
+
if hasattr(self, key):
|
|
1920
|
+
setattr(self, key, value)
|
|
1921
|
+
else:
|
|
1922
|
+
raise ValueError(f"Unknown parameter: {key}")
|
|
1923
|
+
return self
|
|
1924
|
+
|
|
1925
|
+
def summary(self) -> str:
|
|
1926
|
+
"""
|
|
1927
|
+
Get summary of estimation results.
|
|
1928
|
+
|
|
1929
|
+
Returns
|
|
1930
|
+
-------
|
|
1931
|
+
str
|
|
1932
|
+
Formatted summary.
|
|
1933
|
+
"""
|
|
1934
|
+
if not self.is_fitted_:
|
|
1935
|
+
raise RuntimeError("Model must be fitted before calling summary()")
|
|
1936
|
+
assert self.results_ is not None
|
|
1937
|
+
return self.results_.summary()
|
|
1938
|
+
|
|
1939
|
+
def print_summary(self) -> None:
|
|
1940
|
+
"""Print summary to stdout."""
|
|
1941
|
+
print(self.summary())
|
|
1942
|
+
|
|
1943
|
+
|
|
1944
|
+
# =============================================================================
|
|
1945
|
+
# Convenience function
|
|
1946
|
+
# =============================================================================
|
|
1947
|
+
|
|
1948
|
+
|
|
1949
|
+
def triple_difference(
|
|
1950
|
+
data: pd.DataFrame,
|
|
1951
|
+
outcome: str,
|
|
1952
|
+
group: str,
|
|
1953
|
+
partition: str,
|
|
1954
|
+
time: str,
|
|
1955
|
+
covariates: Optional[List[str]] = None,
|
|
1956
|
+
estimation_method: str = "dr",
|
|
1957
|
+
robust: bool = True,
|
|
1958
|
+
cluster: Optional[str] = None,
|
|
1959
|
+
alpha: float = 0.05,
|
|
1960
|
+
rank_deficient_action: str = "warn",
|
|
1961
|
+
epv_threshold: float = 10,
|
|
1962
|
+
pscore_fallback: str = "error",
|
|
1963
|
+
survey_design: object = None,
|
|
1964
|
+
) -> TripleDifferenceResults:
|
|
1965
|
+
"""
|
|
1966
|
+
Estimate Triple Difference (DDD) treatment effect.
|
|
1967
|
+
|
|
1968
|
+
Convenience function that creates a TripleDifference estimator and
|
|
1969
|
+
fits it to the data in one step.
|
|
1970
|
+
|
|
1971
|
+
Parameters
|
|
1972
|
+
----------
|
|
1973
|
+
data : pd.DataFrame
|
|
1974
|
+
DataFrame containing all variables.
|
|
1975
|
+
outcome : str
|
|
1976
|
+
Name of the outcome variable column.
|
|
1977
|
+
group : str
|
|
1978
|
+
Name of the group indicator column (0/1).
|
|
1979
|
+
1 = treated group (e.g., states that enacted policy).
|
|
1980
|
+
partition : str
|
|
1981
|
+
Name of the partition/eligibility indicator column (0/1).
|
|
1982
|
+
1 = eligible partition (e.g., women, targeted demographic).
|
|
1983
|
+
time : str
|
|
1984
|
+
Name of the time period indicator column (0/1).
|
|
1985
|
+
1 = post-treatment period.
|
|
1986
|
+
covariates : list of str, optional
|
|
1987
|
+
List of covariate column names to adjust for.
|
|
1988
|
+
estimation_method : str, default="dr"
|
|
1989
|
+
Estimation method: "dr" (doubly robust), "reg" (regression),
|
|
1990
|
+
or "ipw" (inverse probability weighting).
|
|
1991
|
+
robust : bool, default=True
|
|
1992
|
+
Whether to use heteroskedasticity-robust standard errors.
|
|
1993
|
+
Note: influence function-based SEs are inherently robust to
|
|
1994
|
+
heteroskedasticity, so this parameter has no effect. Retained
|
|
1995
|
+
for API compatibility.
|
|
1996
|
+
cluster : str, optional
|
|
1997
|
+
Column name for cluster-robust standard errors.
|
|
1998
|
+
alpha : float, default=0.05
|
|
1999
|
+
Significance level for confidence intervals.
|
|
2000
|
+
rank_deficient_action : str, default="warn"
|
|
2001
|
+
Action when design matrix is rank-deficient:
|
|
2002
|
+
- "warn": Issue warning and drop linearly dependent columns (default)
|
|
2003
|
+
- "error": Raise ValueError
|
|
2004
|
+
- "silent": Drop columns silently without warning
|
|
2005
|
+
epv_threshold : float, default=10
|
|
2006
|
+
Events Per Variable threshold for propensity score logit.
|
|
2007
|
+
pscore_fallback : str, default="error"
|
|
2008
|
+
Action when propensity score estimation fails:
|
|
2009
|
+
- "error": Raise (default)
|
|
2010
|
+
- "unconditional": Fall back to unconditional propensity
|
|
2011
|
+
|
|
2012
|
+
Returns
|
|
2013
|
+
-------
|
|
2014
|
+
TripleDifferenceResults
|
|
2015
|
+
Object containing estimation results.
|
|
2016
|
+
|
|
2017
|
+
Examples
|
|
2018
|
+
--------
|
|
2019
|
+
>>> from diff_diff import triple_difference
|
|
2020
|
+
>>> results = triple_difference(
|
|
2021
|
+
... data,
|
|
2022
|
+
... outcome='earnings',
|
|
2023
|
+
... group='policy_state',
|
|
2024
|
+
... partition='female',
|
|
2025
|
+
... time='post_policy',
|
|
2026
|
+
... covariates=['age', 'education']
|
|
2027
|
+
... )
|
|
2028
|
+
>>> print(f"ATT: {results.att:.3f} (SE: {results.se:.3f})")
|
|
2029
|
+
"""
|
|
2030
|
+
estimator = TripleDifference(
|
|
2031
|
+
estimation_method=estimation_method,
|
|
2032
|
+
robust=robust,
|
|
2033
|
+
cluster=cluster,
|
|
2034
|
+
alpha=alpha,
|
|
2035
|
+
rank_deficient_action=rank_deficient_action,
|
|
2036
|
+
epv_threshold=epv_threshold,
|
|
2037
|
+
pscore_fallback=pscore_fallback,
|
|
2038
|
+
)
|
|
2039
|
+
return estimator.fit(
|
|
2040
|
+
data=data,
|
|
2041
|
+
outcome=outcome,
|
|
2042
|
+
group=group,
|
|
2043
|
+
partition=partition,
|
|
2044
|
+
time=time,
|
|
2045
|
+
covariates=covariates,
|
|
2046
|
+
survey_design=survey_design,
|
|
2047
|
+
)
|