Nothing
context("Compare bootstrapped and analytical std errors: TWFE Panel")
test_that("Analytical and bootstrapped std errors are similar: TWFE Panel", {
# Let us generate some panel data
#-----------------------------------------------------------------------------
# DGP 1 used by Sant'Anna and Zhao (2020) (Panel data case)
# Sample size
n <- 500
# pscore index (strength of common support)
Xsi.ps <- .75
#-----------------------------------------------------------------------------
#-----------------------------------------------------------------------------
# Mean and Std deviation of Z's without truncation
mean.z1 <- exp(0.25/2)
sd.z1 <- sqrt((exp(0.25) - 1) * exp(0.25))
mean.z2 <- 10
sd.z2 <- 0.54164
mean.z3 <- 0.21887
sd.z3 <- 0.04453
mean.z4 <- 402
sd.z4 <- 56.63891
#-----------------------------------------------------------------------------
set.seed(1234)
# Gen covariates
x1 <- stats::rnorm(n, mean = 0, sd = 1)
x2 <- stats::rnorm(n, mean = 0, sd = 1)
x3 <- stats::rnorm(n, mean = 0, sd = 1)
x4 <- stats::rnorm(n, mean = 0, sd = 1)
z1 <- exp(x1/2)
z2 <- x2/(1 + exp(x1)) + 10
z3 <- (x1 * x3/25 + 0.6)^3
z4 <- (x1 + x4 + 20)^2
z1 <- (z1 - mean.z1)/sd.z1
z2 <- (z2 - mean.z2)/sd.z2
z3 <- (z3 - mean.z3)/sd.z3
z4 <- (z4 - mean.z4)/sd.z4
x <- cbind(x1, x2, x3, x4)
z <- cbind(z1, z2, z3, z4)
#-----------------------------------------------------------------------------
# Gen treatment groups
# Propensity score
pi <- stats::plogis(Xsi.ps * (- z1 + 0.5 * z2 - 0.25 * z3 - 0.1 * z4))
d <- as.numeric(runif(n) <= pi)
#-----------------------------------------------------------------------------
# Generate aux indexes for the potential outcomes
index.lin <- 210 + 27.4*z1 + 13.7*(z2 + z3 + z4)
index.unobs.het <- d * (index.lin)
index.att <- 0
#This is the key for consistency of outcome regression
index.trend <- 210 + 27.4*z1 + 13.7*(z2 + z3 + z4)
#v is the unobserved heterogeneity
v <- stats::rnorm(n, mean = index.unobs.het, sd = 1)
#Gen realized outcome at time 0
y0 <- index.lin + v + stats::rnorm(n)
# gen outcomes at time 1
# First let's generate potential outcomes: y_1_potential
y10 <- index.lin + v + stats::rnorm(n, mean = 0, sd = 1) +#This is the baseline
index.trend #this is for the trend based on X
y11 <- index.lin + v + stats::rnorm(n, mean = 0, sd = 1) +#This is the baseline
index.trend + #this is for the trend based on X
index.att # This is the treatment effects
# Gen realized outcome at time 1
y1 <- d * y11 + (1 - d) * y10
#-----------------------------------------------------------------------------
#Gen id
id <- 1:n
#-----------------------------------------------------------------------------
# Put in a "wide" data frame
dta_wide <- as.data.frame(cbind(id = id, y1 = y1, y0 = y0, d = d,
x1 = z1, x2= z2, x3 = z3, x4 = z4))
# Make "long" data
dta_long <- as.data.frame(cbind(id = id, y = y1, d = d, post = TRUE,
x1 = z1, x2= z2, x3 = z3, x4 = z4))
dta_long <- data.frame(rbind(dta_long,cbind(id = id, y = y0, d = d, post = FALSE,
x1 = z1, x2= z2, x3 = z3, x4 = z4)))
dta_long <- dta_long[order(dta_long$id),]
#-----------------------------------------------------------------------------
#-----------------------------------------------------------------------------
# Use the different estimators to compute ATT
#-----------------------------------------------------------------------------
# Analytical std errors
twfe.did_panel <- twfe_did_panel(dta_wide$y1,dta_wide$y0, dta_wide$d,
covariates = dta_wide[,5:8], boot = FALSE)
twfe.did_panel_n <- twfe_did_panel(dta_wide$y1, dta_wide$y0, dta_wide$d,
covariates = NULL, boot = FALSE)
#-----------------------------------------------------------------------------
# Now with bootstrap (weighted)
twfe.did_panel2 <- twfe_did_panel(dta_wide$y1,dta_wide$y0, dta_wide$d,
covariates = dta_wide[,5:8], boot = TRUE)
twfe.did_panel_n2 <- twfe_did_panel(dta_wide$y1, dta_wide$y0, dta_wide$d,
covariates = NULL, boot = TRUE,
boot.type = "weighted")
# #-----------------------------------------------------------------------------
# Now with bootstrap (multiplier)
twfe.did_panel3 <- twfe_did_panel(dta_wide$y1,dta_wide$y0, dta_wide$d,
dta_wide[,5:8], boot = TRUE, boot.type = "multiplier")
twfe.did_panel_n3 <- twfe_did_panel(dta_wide$y1, dta_wide$y0, dta_wide$d,
covariates = rep(1, n), boot = TRUE,
boot.type = "multiplier")
#-----------------------------------------------------------------------------
# Check if all point estimates are equal
expect_equal(twfe.did_panel$ATT, twfe.did_panel2$ATT)
expect_equal(twfe.did_panel3$ATT, twfe.did_panel2$ATT)
expect_equal(twfe.did_panel_n3$ATT, twfe.did_panel_n$ATT)
expect_equal(twfe.did_panel_n2$ATT, twfe.did_panel_n$ATT)
# Check if all standard errors are equal
expect_equal(twfe.did_panel2$se, twfe.did_panel$se, tol = 0.05)
expect_equal(twfe.did_panel3$se, twfe.did_panel$se, tol = 0.05)
expect_equal(twfe.did_panel_n3$se, twfe.did_panel_n$se, tol = 0.15)
expect_equal(twfe.did_panel_n2$se, twfe.did_panel_n$se, tol = 0.15)
})
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