diffindiff: Robust Non-parametric Difference-in-differences estimation

This package implements methods for non-parametric difference-in-differences estimation, as proposed by Lu, Nie, Wager (2019). We consider a setup where we observe data (X, Y, S, T) generated according to the following model:

X ~ P(X)
S ~ P(S|X), T ~ P(T|X), where S, T takes values {0,1}
Y = b(X) + T*f(X) + S*h(X) + T*S*tau(X) + noise

and we want to estimate the average effect TAU = E[tau(X)]. The general framework is flexible: auxilary parameters such as b(X), f(X) and h(x) can be estimated with any preferred machine learning method. Our methods are implemented with the lasso (glmnet), and cv.glmnet is used to perform cross-fitting.

Installation

To install this package in R, run the following commands:

library(devtools) 
install_github("clu0/diffindiff")

Example usage

library(diffindiff)
library(glmnet)
library(rlearner)
library(EQL)
library(magrittr)

n = 100; p=12
X = matrix(rnorm(n * p), n, p)
tau = 1
f = X[,3]
h = X[,4]
S.treat.prob = 0.4
T.treat.prob = 0.4
Si = rbinom(n, 1, S.treat.prob)
Ti = rbinom(n, 1, T.treat.prob)
b = pmax(X[,1] + X[,2], 0)
Y = b + Ti*f + Si*h + Ti*Si*tau + rnorm(n)

# generate a basis
make_matrix = function(x) stats::model.matrix(~.-1, x)
X = data.frame(X) %>% make_matrix
order = 3
Basis = generate.basis(X,order)

# If we assume that the treatment effect tau is constant, which is true
# for the setup above, then we can run the transformed regression
TR_fit = DiD(X = Basis,
  Y = Y,
  Ti = Ti,
  Si = Si,
  constant_eff = "constant")
  
# If we do not assume tau is constant, we can run DiD-AMLE
gamma.minimax = minimax(Basis, Ti, Si)
DiD_AMLE_fit = DiD(X = Basis,
  Y = Y,
  Ti = Ti,
  Si = Si,
  constant_eff = "non_constant",
  gamma = gamma.minimax)

References

Chen Lu, Xinkun Nie, Stefan Wager. Robust Nonparametric Difference-in-Differences Estimation. 2019. [arxiv]