Comments (1)
Would it be correct to say that the current code takes a weighted difference between pre- and post-periods, but without estimating a full two-way fixed effects regression? From what I can tell, the estimation of the weights
I've adjusted my local version of the module with the following functions for estimating
def regression_df(self):
date_var = self.df.index.name
melted_df = self.df.reset_index().melt(id_vars=date_var)
id_var = melted_df.columns[1]
melted_df['treatment'] = melted_df[id_var].isin(self.treatment).values * melted_df[date_var].isin(self.Y_post_t.index).values
# sdid
omega_weights, lambda_weights = self.estimated_params()
melted_df = melted_df.merge(omega_weights.iloc[:-1].rename(columns={'features':id_var,
'sdid_weight':'omega_weight'}),on=id_var,how='outer')
melted_df = melted_df.merge(lambda_weights.rename(columns={'time':date_var,
'sdid_weight':'lambda_weight'}),on=date_var,how='outer')
melted_df['sdid_weight'] = melted_df['omega_weight'].fillna(1/len(self.treatment)) * melted_df['lambda_weight'].fillna(1/len(self.Y_post_t))
# sc
omega_weights_ADH = self.estimated_params('sc')
melted_df = melted_df.merge(omega_weights_ADH.rename(columns={'features':id_var}),on=id_var,how='outer')
melted_df['sc_weight'] = melted_df['sc_weight'].fillna(1/len(self.treatment))
melted_df = melted_df.set_index([id_var,date_var])
return melted_df
...
def hat_tau(self, model="sdid"):
"""
# adjusted from github to perform weighted TWFE regression
"""
regression_df = self.regression_df()
if model == "sdid":
regression_df_noZeroWeight = regression_df.loc[regression_df['sdid_weight']>0] # weights must be strictly positive for PanelOLS; as they're zero weight, OK to drop
FE = PanelOLS(regression_df_noZeroWeight['value'], regression_df_noZeroWeight['treatment'],
entity_effects = True,
time_effects = True,
weights = regression_df_noZeroWeight['sdid_weight'])
result = FE.fit()
tau_est = result.params[0]
elif model == "sc":
regression_df_noZeroWeight = regression_df.loc[regression_df['sc_weight']>0] # weights must be strictly positive for PanelOLS; as they're zero weight, OK to drop
FE = PanelOLS(regression_df_noZeroWeight['value'], regression_df_noZeroWeight['treatment'],
time_effects = True,
weights = regression_df_noZeroWeight['sc_weight'])
result = FE.fit()
tau_est = result.params[0]
I've also made a few smaller adjustments to plot this object differently, and to refactor the variance code to use these functions directly by making a deepcopy() of the given class instance and then reestimating the attribute objects, but the main changes were the above adjustments. Would be interested to hear if you think this is correct. Thanks again for building this code!
Here's the new version of the above graph with this new estimation method, which looks closer to expected:
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