Callaway-Sant'Anna event-study aggregation of doubly robust ATT(g,t)

The group-time effects at a fixed length of exposure e = t - g are averaged with the cohort-share weights of the cohorts actually observed at that horizon, theta_es(e) = sum_g 1{g + e <= T} P(G = g | G + e <= T) ATT(g, g + e), equation (3.4) of the paper. Each ATT(g, g + e) is the doubly robust panel moment of Sant'Anna and Zhao (2020) between the base period g - 1 and period g + e, against the never-treated.

Usage

Drcef(y, D, unit, time, cohort, X = NULL)

Arguments

y

Outcome, long format, one entry per unit-period.

D

Treatment indicator, carried for the interface.

unit, time

Unit and period identifiers.

cohort

First treated period of the row's unit; 0 or Inf marks a never-treated unit.

X

Optional baseline covariates, one row per unit-period.

Value

List with estimate, event_time, theta, n_cohorts, weight_sum, n.

References

Callaway, B. and Sant'Anna, P. H. C. (2021). Difference-in-differences with multiple time periods. Journal of Econometrics 225(2), 200-230, equation (3.4). Sant'Anna, P. H. C. and Zhao, J. (2020). Journal of Econometrics 219(1), 101-122, equation (2.6).

Examples

set.seed(1)
r <- Drcef(y = rnorm(10), D = rbinom(10, 1, 0.5), unit = rnorm(10), time = sort(runif(10)),
  cohort = rnorm(10))
TRUE
#> [1] TRUE