drdid_rc1 {DRDID}

Doubly robust DiD estimator for the ATT, with repeated cross-section data

Description

drdid_rc1 is used to compute the doubly robust estimators for the ATT in difference-in-differences (DiD) setups with stationary repeated cross-sectional data. The resulting estimator is not locally efficient; see Section 3.2 of Sant'Anna and Zhao (2020).

Usage

drdid_rc1(
  y,
  post,
  D,
  covariates,
  i.weights = NULL,
  boot = FALSE,
  boot.type = "weighted",
  nboot = NULL,
  inffunc = FALSE
)

Arguments

y

An n x 1 vector of outcomes from the both pre and post-treatment periods.

post

An n x 1 vector of Post-Treatment dummies (post = 1 if observation belongs to post-treatment period, and post = 0 if observation belongs to pre-treatment period.)

D

An n x 1 vector of Group indicators (=1 if observation is treated in the post-treatment, =0 otherwise).

covariates

An n x k matrix of covariates to be used in the propensity score and regression estimation. If covariates = NULL, this leads to an unconditional DiD estimator.

i.weights

An n x 1 vector of weights to be used. If NULL, then every observation has the same weights. The weights are normalized and therefore enforced to have mean 1 across all observations.

boot

Logical argument to whether bootstrap should be used for inference. Default is FALSE.

boot.type

Type of bootstrap to be performed (not relevant if boot = FALSE). Options are "weighted" and "multiplier". If boot = TRUE, default is "weighted".

nboot

Number of bootstrap repetitions (not relevant if boot = FALSE). Default is 999.

inffunc

Logical argument to whether influence function should be returned. Default is FALSE.

Details

The drdid_rc1 function implements the doubly robust difference-in-differences (DiD) estimator for the average treatment effect on the treated (ATT) defined in equation (3.3) in Sant'Anna and Zhao (2020). This estimator makes use of a logistic propensity score model for the probability of being in the treated group, and of (separate) linear regression models for the outcome among the comparison units in both pre and post-treatment time periods. Importantly, this estimator is not locally efficient for the ATT.

The propensity score parameters are estimated using maximum likelihood, and the outcome regression coefficients are estimated using ordinary least squares.

The resulting estimator is not not locally efficient; see Sant'Anna and Zhao (2020) for details.

Value

A list containing the following components:

ATT

The DR DiD point estimate

se

The DR DiD standard error

uci

Estimate of the upper bound of a 95% CI for the ATT

lci

Estimate of the lower bound of a 95% CI for the ATT

boots

All Bootstrap draws of the ATT, in case bootstrap was used to conduct inference. Default is NULL

att.inf.func

Estimate of the influence function. Default is NULL

call.param

The matched call.

argu

Some arguments used (explicitly or not) in the call (panel = FALSE, estMethod = "trad2", boot, boot.type, nboot, type="dr")

References

Sant'Anna, Pedro H. C. and Zhao, Jun. (2020), "Doubly Robust Difference-in-Differences Estimators." Journal of Econometrics, Vol. 219 (1), pp. 101-122, doi:10.1016/j.jeconom.2020.06.003

Examples

# use the simulated data provided in the package
covX = as.matrix(sim_rc[,5:8])
# Implement the 'traditional' DR DiD estimator (not locally efficient!)
drdid_rc1(y = sim_rc$y, post = sim_rc$post, D = sim_rc$d,
          covariates= covX)