diff-diff 3.0.1__cp314-cp314-win_amd64.whl

diff_diff/two_stage_results.py

@@ -0,0 +1,400 @@
+"""
+Result containers for the Two-Stage DiD estimator.
+
+This module contains TwoStageBootstrapResults and TwoStageDiDResults
+dataclasses. Extracted from two_stage.py for module size management.
+"""
+
+from dataclasses import dataclass, field
+from typing import Any, Dict, List, Optional, Tuple
+
+import numpy as np
+import pandas as pd
+
+from diff_diff.results import _format_survey_block, _get_significance_stars
+
+__all__ = [
+    "TwoStageBootstrapResults",
+    "TwoStageDiDResults",
+]
+
+
+@dataclass
+class TwoStageBootstrapResults:
+    """
+    Results from TwoStageDiD bootstrap inference.
+
+    Bootstrap uses multiplier bootstrap on the GMM influence function,
+    consistent with other library estimators. The R `did2s` package uses
+    block bootstrap by default; multiplier bootstrap is asymptotically
+    equivalent.
+
+    Attributes
+    ----------
+    n_bootstrap : int
+        Number of bootstrap iterations.
+    weight_type : str
+        Type of bootstrap weights: "rademacher", "mammen", or "webb".
+    alpha : float
+        Significance level used for confidence intervals.
+    overall_att_se : float
+        Bootstrap standard error for overall ATT.
+    overall_att_ci : tuple
+        Bootstrap confidence interval for overall ATT.
+    overall_att_p_value : float
+        Bootstrap p-value for overall ATT.
+    event_study_ses : dict, optional
+        Bootstrap SEs for event study effects.
+    event_study_cis : dict, optional
+        Bootstrap CIs for event study effects.
+    event_study_p_values : dict, optional
+        Bootstrap p-values for event study effects.
+    group_ses : dict, optional
+        Bootstrap SEs for group effects.
+    group_cis : dict, optional
+        Bootstrap CIs for group effects.
+    group_p_values : dict, optional
+        Bootstrap p-values for group effects.
+    bootstrap_distribution : np.ndarray, optional
+        Full bootstrap distribution of overall ATT.
+    """
+
+    n_bootstrap: int
+    weight_type: str
+    alpha: float
+    overall_att_se: float
+    overall_att_ci: Tuple[float, float]
+    overall_att_p_value: float
+    event_study_ses: Optional[Dict[int, float]] = None
+    event_study_cis: Optional[Dict[int, Tuple[float, float]]] = None
+    event_study_p_values: Optional[Dict[int, float]] = None
+    group_ses: Optional[Dict[Any, float]] = None
+    group_cis: Optional[Dict[Any, Tuple[float, float]]] = None
+    group_p_values: Optional[Dict[Any, float]] = None
+    bootstrap_distribution: Optional[np.ndarray] = field(default=None, repr=False)
+
+
+@dataclass
+class TwoStageDiDResults:
+    """
+    Results from Gardner (2022) two-stage DiD estimation.
+
+    Attributes
+    ----------
+    treatment_effects : pd.DataFrame
+        Per-observation treatment effects with columns: unit, time,
+        tau_hat, weight. tau_hat is the residualized outcome y_tilde
+        for treated observations; weight is 1/n_treated.
+    overall_att : float
+        Overall average treatment effect on the treated.
+    overall_se : float
+        Standard error of overall ATT (GMM sandwich).
+    overall_t_stat : float
+        T-statistic for overall ATT.
+    overall_p_value : float
+        P-value for overall ATT.
+    overall_conf_int : tuple
+        Confidence interval for overall ATT.
+    event_study_effects : dict, optional
+        Dictionary mapping relative time h to effect dict with keys:
+        'effect', 'se', 't_stat', 'p_value', 'conf_int', 'n_obs'.
+    group_effects : dict, optional
+        Dictionary mapping cohort g to effect dict.
+    groups : list
+        List of treatment cohorts.
+    time_periods : list
+        List of all time periods.
+    n_obs : int
+        Total number of observations.
+    n_treated_obs : int
+        Number of treated observations.
+    n_untreated_obs : int
+        Number of untreated observations.
+    n_treated_units : int
+        Number of ever-treated units.
+    n_control_units : int
+        Number of units contributing to untreated observations.
+    alpha : float
+        Significance level used.
+    bootstrap_results : TwoStageBootstrapResults, optional
+        Bootstrap inference results.
+    """
+
+    treatment_effects: pd.DataFrame
+    overall_att: float
+    overall_se: float
+    overall_t_stat: float
+    overall_p_value: float
+    overall_conf_int: Tuple[float, float]
+    event_study_effects: Optional[Dict[int, Dict[str, Any]]]
+    group_effects: Optional[Dict[Any, Dict[str, Any]]]
+    groups: List[Any]
+    time_periods: List[Any]
+    n_obs: int
+    n_treated_obs: int
+    n_untreated_obs: int
+    n_treated_units: int
+    n_control_units: int
+    alpha: float = 0.05
+    bootstrap_results: Optional[TwoStageBootstrapResults] = field(default=None, repr=False)
+    # Survey design metadata (SurveyMetadata instance from diff_diff.survey)
+    survey_metadata: Optional[Any] = field(default=None, repr=False)
+
+    def __repr__(self) -> str:
+        """Concise string representation."""
+        sig = _get_significance_stars(self.overall_p_value)
+        return (
+            f"TwoStageDiDResults(ATT={self.overall_att:.4f}{sig}, "
+            f"SE={self.overall_se:.4f}, "
+            f"n_groups={len(self.groups)}, "
+            f"n_treated_obs={self.n_treated_obs})"
+        )
+
+    @property
+    def coef_var(self) -> float:
+        """Coefficient of variation: SE / |overall ATT|. NaN when ATT is 0 or SE non-finite."""
+        if not (np.isfinite(self.overall_se) and self.overall_se >= 0):
+            return np.nan
+        if not np.isfinite(self.overall_att) or self.overall_att == 0:
+            return np.nan
+        return self.overall_se / abs(self.overall_att)
+
+    def summary(self, alpha: Optional[float] = None) -> str:
+        """
+        Generate formatted summary of estimation results.
+
+        Parameters
+        ----------
+        alpha : float, optional
+            Significance level. Defaults to alpha used in estimation.
+
+        Returns
+        -------
+        str
+            Formatted summary.
+        """
+        alpha = alpha or self.alpha
+        conf_level = int((1 - alpha) * 100)
+
+        lines = [
+            "=" * 85,
+            "Two-Stage DiD Estimator Results (Gardner 2022)".center(85),
+            "=" * 85,
+            "",
+            f"{'Total observations:':<30} {self.n_obs:>10}",
+            f"{'Treated observations:':<30} {self.n_treated_obs:>10}",
+            f"{'Untreated observations:':<30} {self.n_untreated_obs:>10}",
+            f"{'Treated units:':<30} {self.n_treated_units:>10}",
+            f"{'Control units:':<30} {self.n_control_units:>10}",
+            f"{'Treatment cohorts:':<30} {len(self.groups):>10}",
+            f"{'Time periods:':<30} {len(self.time_periods):>10}",
+            "",
+        ]
+
+        # Survey design info
+        if self.survey_metadata is not None:
+            sm = self.survey_metadata
+            lines.extend(_format_survey_block(sm, 85))
+
+        # Overall ATT
+        lines.extend(
+            [
+                "-" * 85,
+                "Overall Average Treatment Effect on the Treated".center(85),
+                "-" * 85,
+                f"{'Parameter':<15} {'Estimate':>12} {'Std. Err.':>12} "
+                f"{'t-stat':>10} {'P>|t|':>10} {'Sig.':>6}",
+                "-" * 85,
+            ]
+        )
+
+        t_str = (
+            f"{self.overall_t_stat:>10.3f}" if np.isfinite(self.overall_t_stat) else f"{'NaN':>10}"
+        )
+        p_str = (
+            f"{self.overall_p_value:>10.4f}"
+            if np.isfinite(self.overall_p_value)
+            else f"{'NaN':>10}"
+        )
+        sig = _get_significance_stars(self.overall_p_value)
+
+        lines.extend(
+            [
+                f"{'ATT':<15} {self.overall_att:>12.4f} {self.overall_se:>12.4f} "
+                f"{t_str} {p_str} {sig:>6}",
+                "-" * 85,
+                "",
+                f"{conf_level}% Confidence Interval: "
+                f"[{self.overall_conf_int[0]:.4f}, {self.overall_conf_int[1]:.4f}]",
+            ]
+        )
+
+        cv = self.coef_var
+        if np.isfinite(cv):
+            lines.append(f"{'CV (SE/|ATT|):':<25} {cv:>10.4f}")
+
+        lines.append("")
+
+        # Event study effects
+        if self.event_study_effects:
+            lines.extend(
+                [
+                    "-" * 85,
+                    "Event Study (Dynamic) Effects".center(85),
+                    "-" * 85,
+                    f"{'Rel. Period':<15} {'Estimate':>12} {'Std. Err.':>12} "
+                    f"{'t-stat':>10} {'P>|t|':>10} {'Sig.':>6}",
+                    "-" * 85,
+                ]
+            )
+
+            for h in sorted(self.event_study_effects.keys()):
+                eff = self.event_study_effects[h]
+                if eff.get("n_obs", 1) == 0:
+                    # Reference period marker
+                    lines.append(
+                        f"[ref: {h}]" f"{'0.0000':>17} {'---':>12} {'---':>10} {'---':>10} {'':>6}"
+                    )
+                elif np.isnan(eff["effect"]):
+                    lines.append(f"{h:<15} {'NaN':>12} {'NaN':>12} {'NaN':>10} {'NaN':>10} {'':>6}")
+                else:
+                    e_sig = _get_significance_stars(eff["p_value"])
+                    e_t = (
+                        f"{eff['t_stat']:>10.3f}" if np.isfinite(eff["t_stat"]) else f"{'NaN':>10}"
+                    )
+                    e_p = (
+                        f"{eff['p_value']:>10.4f}"
+                        if np.isfinite(eff["p_value"])
+                        else f"{'NaN':>10}"
+                    )
+                    lines.append(
+                        f"{h:<15} {eff['effect']:>12.4f} {eff['se']:>12.4f} "
+                        f"{e_t} {e_p} {e_sig:>6}"
+                    )
+
+            lines.extend(["-" * 85, ""])
+
+        # Group effects
+        if self.group_effects:
+            lines.extend(
+                [
+                    "-" * 85,
+                    "Group (Cohort) Effects".center(85),
+                    "-" * 85,
+                    f"{'Cohort':<15} {'Estimate':>12} {'Std. Err.':>12} "
+                    f"{'t-stat':>10} {'P>|t|':>10} {'Sig.':>6}",
+                    "-" * 85,
+                ]
+            )
+
+            for g in sorted(self.group_effects.keys()):
+                eff = self.group_effects[g]
+                if np.isnan(eff["effect"]):
+                    lines.append(f"{g:<15} {'NaN':>12} {'NaN':>12} {'NaN':>10} {'NaN':>10} {'':>6}")
+                else:
+                    g_sig = _get_significance_stars(eff["p_value"])
+                    g_t = (
+                        f"{eff['t_stat']:>10.3f}" if np.isfinite(eff["t_stat"]) else f"{'NaN':>10}"
+                    )
+                    g_p = (
+                        f"{eff['p_value']:>10.4f}"
+                        if np.isfinite(eff["p_value"])
+                        else f"{'NaN':>10}"
+                    )
+                    lines.append(
+                        f"{g:<15} {eff['effect']:>12.4f} {eff['se']:>12.4f} "
+                        f"{g_t} {g_p} {g_sig:>6}"
+                    )
+
+            lines.extend(["-" * 85, ""])
+
+        lines.extend(
+            [
+                "Signif. codes: '***' 0.001, '**' 0.01, '*' 0.05, '.' 0.1",
+                "=" * 85,
+            ]
+        )
+
+        return "\n".join(lines)
+
+    def print_summary(self, alpha: Optional[float] = None) -> None:
+        """Print summary to stdout."""
+        print(self.summary(alpha))
+
+    def to_dataframe(self, level: str = "event_study") -> pd.DataFrame:
+        """
+        Convert results to DataFrame.
+
+        Parameters
+        ----------
+        level : str, default="event_study"
+            Level of aggregation:
+            - "event_study": Event study effects by relative time
+            - "group": Group (cohort) effects
+            - "observation": Per-observation treatment effects
+
+        Returns
+        -------
+        pd.DataFrame
+            Results as DataFrame.
+        """
+        if level == "observation":
+            return self.treatment_effects.copy()
+
+        elif level == "event_study":
+            if self.event_study_effects is None:
+                raise ValueError(
+                    "Event study effects not computed. "
+                    "Use aggregate='event_study' or aggregate='all'."
+                )
+            rows = []
+            for h, data in sorted(self.event_study_effects.items()):
+                rows.append(
+                    {
+                        "relative_period": h,
+                        "effect": data["effect"],
+                        "se": data["se"],
+                        "t_stat": data["t_stat"],
+                        "p_value": data["p_value"],
+                        "conf_int_lower": data["conf_int"][0],
+                        "conf_int_upper": data["conf_int"][1],
+                        "n_obs": data.get("n_obs", np.nan),
+                    }
+                )
+            return pd.DataFrame(rows)
+
+        elif level == "group":
+            if self.group_effects is None:
+                raise ValueError(
+                    "Group effects not computed. " "Use aggregate='group' or aggregate='all'."
+                )
+            rows = []
+            for g, data in sorted(self.group_effects.items()):
+                rows.append(
+                    {
+                        "group": g,
+                        "effect": data["effect"],
+                        "se": data["se"],
+                        "t_stat": data["t_stat"],
+                        "p_value": data["p_value"],
+                        "conf_int_lower": data["conf_int"][0],
+                        "conf_int_upper": data["conf_int"][1],
+                        "n_obs": data.get("n_obs", np.nan),
+                    }
+                )
+            return pd.DataFrame(rows)
+
+        else:
+            raise ValueError(
+                f"Unknown level: {level}. Use 'event_study', 'group', or 'observation'."
+            )
+
+    @property
+    def is_significant(self) -> bool:
+        """Check if overall ATT is significant."""
+        return bool(self.overall_p_value < self.alpha)
+
+    @property
+    def significance_stars(self) -> str:
+        """Significance stars for overall ATT."""
+        return _get_significance_stars(self.overall_p_value)