gsc_ife_cpp: Fast Interactive Fixed Effects (IFE) for Generalized...

In coresynth: Fast and Unified Synthetic Control Methods

Fast Interactive Fixed Effects (IFE) for Generalized Synthetic Control

Description

Implements Xu (2017) IFE model with optional covariate adjustment. When X_co has p > 0 slices, runs an EM loop alternating between: E-step: truncated SVD of Y_tilde = Y_co - X_co * beta M-step: panel OLS to update beta given current factors When X_co has 0 slices (default), falls back to the plain 3-step estimator.

Usage

gsc_ife_cpp(Y_co, Y_tr_pre, r, X_co, X_tr_pre, max_iter = 50L, tol = 1e-06)

Arguments

Y_co	Control units outcome matrix (T x N_co)
Y_tr_pre	Treated units pre-treatment outcomes (T_pre x N_tr)
r	Number of latent factors (must be <= min(T, N_co))
X_co	Time-varying covariate cube (T x N_co x p). Pass an empty cube (0 slices) for the covariate-free estimator.
X_tr_pre	Time-varying covariate cube for treated units in the pre-treatment window (T_pre x N_tr x p). Required for correct Step 2 loading estimation per Xu (2017): lambda_hat is estimated from Y_tr_pre - X_tr_pre * beta (covariate- demeaned). Pass an empty cube (0 slices) to skip demeaning (backward-compatible, but biased when beta != 0).
max_iter	Maximum EM iterations (default 50)
tol	Convergence tolerance on relative beta change (default 1e-6)

Value

A list with components:

• F: estimated time factors (T x r).

• L_co: control-unit factor loadings (N_co x r).

• L_tr: treated-unit factor loadings (N_tr x r).

• Y_tr_hat: estimated treated-unit counterfactual outcomes (T x N_tr).

• singular_values: singular values from the final truncated SVD.

• beta: estimated covariate coefficients (p x 1), empty when no covariates are supplied.

coresynth documentation built on Aug. 28, 2026, 1:06 a.m.