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Subtree merge InteractionWeightedDIDs
Add lib/InteractionWeightedDIDs/ from JuliaDiffinDiffs/InteractionWeightedDIDs.jl@68e9207
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‎lib/InteractionWeightedDIDs/.github/workflows/CI-latest.yml‎

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name: CI-latest
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on:
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pull_request:
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branches:
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- master
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push:
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branches:
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- master
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tags: '*'
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jobs:
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test:
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name: Julia ${{ matrix.version }} - ${{ matrix.os }} - ${{ matrix.arch }} - ${{ github.event_name }}
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env:
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JULIA_NUM_THREADS: 2
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runs-on: ${{ matrix.os }}
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strategy:
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fail-fast: false
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matrix:
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version:
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- 'nightly'
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os:
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- 'ubuntu-latest'
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- 'macos-latest'
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arch:
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- 'x64'
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steps:
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- uses: actions/checkout@v2
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- uses: julia-actions/setup-julia@v1
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with:
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version: ${{ matrix.version }}
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arch: ${{ matrix.arch }}
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- uses: actions/cache@v1
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env:
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cache-name: cache-artifacts
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with:
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path: ~/.julia/artifacts
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key: ${{ runner.os }}-test-${{ env.cache-name }}-${{ hashFiles('**/Project.toml') }}
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restore-keys: |
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${{ runner.os }}-test-${{ env.cache-name }}-
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${{ runner.os }}-test-
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${{ runner.os }}-
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- uses: julia-actions/julia-buildpkg@v1
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- name: Install latest dependencies
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run: julia --project=. -e "using Pkg; Pkg.add(PackageSpec(name=\""DiffinDiffsBase\"", rev=\""master\"")); Pkg.instantiate()"
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- uses: julia-actions/julia-runtest@v1

‎lib/InteractionWeightedDIDs/.github/workflows/CI-stable.yml‎

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name: CI-stable
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on:
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pull_request:
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branches:
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- master
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push:
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branches:
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- master
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tags: '*'
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jobs:
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test:
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name: Julia ${{ matrix.version }} - ${{ matrix.os }} - ${{ matrix.arch }} - ${{ github.event_name }}
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env:
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JULIA_NUM_THREADS: 2
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runs-on: ${{ matrix.os }}
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strategy:
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fail-fast: false
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matrix:
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version:
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- '1.3'
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- '1'
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os:
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- 'ubuntu-latest'
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- 'macos-latest'
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- 'windows-latest'
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arch:
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- 'x64'
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steps:
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- uses: actions/checkout@v2
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- uses: julia-actions/setup-julia@v1
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with:
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version: ${{ matrix.version }}
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arch: ${{ matrix.arch }}
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- uses: actions/cache@v1
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env:
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cache-name: cache-artifacts
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with:
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path: ~/.julia/artifacts
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key: ${{ runner.os }}-test-${{ env.cache-name }}-${{ hashFiles('**/Project.toml') }}
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restore-keys: |
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${{ runner.os }}-test-${{ env.cache-name }}-
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${{ runner.os }}-test-
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${{ runner.os }}-
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- uses: julia-actions/julia-buildpkg@v1
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- name: Install latest dependencies
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run: julia --project=. -e "using Pkg; Pkg.add(PackageSpec(name=\""DiffinDiffsBase\"", rev=\""master\"")); Pkg.instantiate()"
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- uses: julia-actions/julia-runtest@v1
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- uses: julia-actions/julia-processcoverage@v1
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- uses: codecov/codecov-action@v1
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with:
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file: lcov.info

‎lib/InteractionWeightedDIDs/.github/workflows/CompatHelper.yml‎

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name: CompatHelper
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on:
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schedule:
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- cron: '00 00 * * 0'
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workflow_dispatch:
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jobs:
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CompatHelper:
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runs-on: ubuntu-latest
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steps:
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- name: Pkg.add("CompatHelper")
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run: julia -e 'using Pkg; Pkg.add("CompatHelper")'
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- name: CompatHelper.main()
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env:
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GITHUB_TOKEN: ${{ secrets.GITHUB_TOKEN }}
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COMPATHELPER_PRIV: ${{ secrets.SSH_KEY }}
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run: julia -e 'using CompatHelper; CompatHelper.main()'

‎lib/InteractionWeightedDIDs/.github/workflows/TagBot.yml‎

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name: TagBot
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on:
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issue_comment:
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types:
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- created
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workflow_dispatch:
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jobs:
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TagBot:
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if: github.event_name == 'workflow_dispatch' || github.actor == 'JuliaTagBot'
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runs-on: ubuntu-latest
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steps:
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- uses: JuliaRegistries/TagBot@v1
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with:
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token: ${{ secrets.GITHUB_TOKEN }}
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ssh: ${{ secrets.SSH_KEY }}
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user: junyuan-chen
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email: [email protected]
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gpg: ${{ secrets.GPG_KEY }}
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gpg_password: ${{ secrets.GPG_PASSWORD }}

‎lib/InteractionWeightedDIDs/LICENSE.md‎

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MIT License
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Copyright (c) 2020 Junyuan Chen
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Permission is hereby granted, free of charge, to any person obtaining a copy
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of this software and associated documentation files (the "Software"), to deal
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in the Software without restriction, including without limitation the rights
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to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
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copies of the Software, and to permit persons to whom the Software is
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furnished to do so, subject to the following conditions:
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The above copyright notice and this permission notice shall be included in all
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copies or substantial portions of the Software.
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THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
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OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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SOFTWARE.

‎lib/InteractionWeightedDIDs/Project.toml‎

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name = "InteractionWeightedDIDs"
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uuid = "4fda0319-85a0-4a01-849e-821b918731ee"
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authors = ["Junyuan Chen <[email protected]>"]
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version = "0.3.0"
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[deps]
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DataAPI = "9a962f9c-6df0-11e9-0e5d-c546b8b5ee8a"
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DiffinDiffsBase = "7fc23ce2-6e83-4e3c-822f-a79085ccb3e8"
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FixedEffectModels = "9d5cd8c9-2029-5cab-9928-427838db53e3"
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FixedEffects = "c8885935-8500-56a7-9867-7708b20db0eb"
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LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
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Reexport = "189a3867-3050-52da-a836-e630ba90ab69"
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StatsBase = "2913bbd2-ae8a-5f71-8c99-4fb6c76f3a91"
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StatsFuns = "4c63d2b9-4356-54db-8cca-17b64c39e42c"
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StatsModels = "3eaba693-59b7-5ba5-a881-562e759f1c8d"
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StatsProcedures = "d2f4e7c0-4966-47f3-9552-d63f8a71a436"
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Tables = "bd369af6-aec1-5ad0-b16a-f7cc5008161c"
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Vcov = "ec2bfdc2-55df-4fc9-b9ae-4958c2cf2486"
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[compat]
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DataAPI = "1.5"
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DataFrames = "1"
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DiffinDiffsBase = "0.4"
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FixedEffectModels = "1.6"
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FixedEffects = "2"
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Reexport = "0.2, 1"
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StatsBase = "0.33"
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StatsFuns = "0.9"
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StatsModels = "0.6"
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StatsProcedures = "0.1"
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Tables = "1"
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Vcov = "0.5"
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julia = "1.3"
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[extras]
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DataFrames = "a93c6f00-e57d-5684-b7b6-d8193f3e46c0"
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Dates = "ade2ca70-3891-5945-98fb-dc099432e06a"
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Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
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[targets]
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test = ["DataFrames", "Dates", "Test"]

‎lib/InteractionWeightedDIDs/README.md‎

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# InteractionWeightedDIDs.jl
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*Regression-based multi-period difference-in-differences with heterogenous treatment effects*
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[![CI-stable](https://github.com/JuliaDiffinDiffs/InteractionWeightedDIDs.jl/workflows/CI-stable/badge.svg)](https://github.com/JuliaDiffinDiffs/InteractionWeightedDIDs.jl/actions?query=workflow%3ACI-stable)
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[![codecov](https://codecov.io/gh/JuliaDiffinDiffs/InteractionWeightedDIDs.jl/branch/master/graph/badge.svg)](https://codecov.io/gh/JuliaDiffinDiffs/InteractionWeightedDIDs.jl)
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This package provides a collection of regression-based estimators
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and auxiliary tools for difference-in-differences (DID)
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across multiple treatment groups over multiple time periods.
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It is a component of [DiffinDiffs.jl](https://github.com/JuliaDiffinDiffs/DiffinDiffs.jl)
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that can also be used as a standalone package.
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> **Note:**
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>
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> The development of this package is not fully complete.
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> New features and improvements are being added over time.
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## Applicable Environment
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The baseline empirical environment this package focuses on
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is the same as the one considered by [Sun and Abraham (2020)](https://doi.org/10.1016/j.jeconom.2020.09.006):
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* Treatment states are binary, irreversible and sharp.
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* Units may receive treatment in different periods in a staggered fashion.
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* Treatment effects may evolve over time following possibly heterogenous paths across treated groups.
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The parameters of interest include:
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* A collection of average treatment effects
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on each group of treated units in different periods.
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* Interpretable aggregations of these group-time-level parameters.
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## Main Features
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This package is developed with dedication to
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both the credibility of econometric methodology
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and high performance for working with relatively large datasets.
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The main features are the following:
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* Automatic and efficient generation of indicator variables based on empirical design and data coverage.
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* Enforcement of an overlap condition based on the parallel trends assumption.
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* Fast residualization of regressors from fixed effects via [FixedEffects.jl](https://github.com/FixedEffects/FixedEffects.jl).
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* Interaction-weighted DID estimators proposed by [Sun and Abraham (2020)](https://doi.org/10.1016/j.jeconom.2020.09.006).
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* Cell-level decomposition of coefficient estimates for analytical reconciliation across specifications.
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As a component of [DiffinDiffs.jl](https://github.com/JuliaDiffinDiffs/DiffinDiffs.jl),
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it follows the same programming interface shared by all component packages.
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In particular, it is benefited from the macros `@did` and `@specset`
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that largely simplify the construction of groups of related specifications
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and reduce unnecessary repetitions of identical intermediate steps
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(e.g., partialling out fixed effects for the same regressors).
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Tools for easing the export of estimation results are also being developed.
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## Econometric Foundations
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The package does not enforce the use of a specific estimation procedure
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and allows some flexibility from the users.
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However, it is mainly designed to ease the adoption of
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recent advances in the difference-in-differences literature
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that overcome certain pitfalls that may arise
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in scenarios where the treated units get treated in different periods
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(i.e., the staggered adoption design).
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The development of this package is directly based on the following studies:
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* [Sun and Abraham (2020)](https://doi.org/10.1016/j.jeconom.2020.09.006)
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* Unpublished work by the package author
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Some other studies are also relevant and have provided inspiration:
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* [de Chaisemartin and D'Haultfœuille (2020)](https://doi.org/10.1257/aer.20181169)
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* [Borusyak and Jaravel (2018)](#BorusyakJ18)
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* [Goodman-Bacon (2020)](#Goodman20)
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* [Callaway and Sant'Anna (2020)](https://doi.org/10.1016/j.jeconom.2020.12.001)
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## References
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<a name="BorusyakJ18">**Borusyak, Kirill, and Xavier Jaravel.** 2018. "Revisiting Event Study Designs with an Application to the Estimation of the Marginal Propensity to Consume." Unpublished.</a>
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<a name="CallawayS20">**Callaway, Brantly, and Pedro H. C. Sant'Anna.** 2020. "Difference-in-Differences with Multiple Time Periods." *Journal of Econometrics*, forthcoming.</a>
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<a name="ChaisemartD20T">**de Chaisemartin, Clément, and Xavier D'Haultfœuille.** 2020. "Two-Way Fixed Effects Estimators with Heterogeneous Treatment Effects." *American Economic Review* 110 (9): 2964-96.</a>
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<a name="Goodman20">**Goodman-Bacon, Andrew.** 2020. "Difference-in-Differences with Variation in Treatment Timing." Unpublished.</a>
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<a name="SunA20">**Sun, Liyang, and Sarah Abraham.** 2020. "Estimating Dynamic Treatment Effects in Event Studies with Heterogeneous Treatment Effects." *Journal of Econometrics*, forthcoming.</a>

‎lib/InteractionWeightedDIDs/src/InteractionWeightedDIDs.jl‎

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module InteractionWeightedDIDs
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using Base: Callable
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using DataAPI: refarray
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using FixedEffectModels: FixedEffectTerm, Combination,
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fe, fesymbol, _multiply, invsym!, isnested, nunique
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using FixedEffects
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using LinearAlgebra: Cholesky, Factorization, Symmetric, cholesky!, diag
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using Reexport
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using StatsBase: AbstractWeights, CovarianceEstimator, UnitWeights, PValue, TestStat, NoQuote
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using StatsFuns: fdistccdf
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using StatsModels: coefnames
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using StatsProcedures: _count!
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using Tables
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using Tables: getcolumn, columnnames
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using Vcov
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@reexport using DiffinDiffsBase
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using DiffinDiffsBase: ValidTimeType, termvars, isintercept, parse_intercept!,
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_groupfind, _treatnames, _parse_bycells!, _parse_subset
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import Base: show
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import DiffinDiffsBase: valid_didargs, vce, treatment, nobs, outcomename, weights, treatnames,
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dof_residual, agg, post!
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import FixedEffectModels: has_fe
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import StatsProcedures: required, default, transformed, combinedargs, copyargs, result
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export Vcov,
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fe
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export CheckVcov,
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ParseFEterms,
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GroupFEterms,
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MakeFEs,
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CheckFEs,
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MakeFESolver,
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MakeYXCols,
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MakeTreatCols,
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SolveLeastSquares,
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EstVcov,
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SolveLeastSquaresWeights,
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RegressionBasedDID,
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Reg,
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RegressionBasedDIDResult,
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has_fe,
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AggregatedRegDIDResult,
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has_lsweights,
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ContrastResult,
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contrast
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include("utils.jl")
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include("procedures.jl")
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include("did.jl")
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end

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