R/honest_sunab.R

In asheshrambachan/HonestDiD: Robust Inference in Difference-in-Differences and Event Study Designs

#' @title sunab_beta_vcv
#'
#' @description
#' This function takes a regression estimated using fixest with the sunab option
#' and extracts the aggregated event-study coefficients and their variance-covariance matrix
#'
#' @param sunab_fixest The result of a fixest call using the sunab option
#'
#' @returns A list containing beta (the event-study coefficients),
#'          sigma (the variance-covariance matrix), and
#'          cohorts (the relative times corresponding to beta, sigma)
sunab_beta_vcv <- function(sunab_fixest) {

  ## The following code block extracts the weights on individual coefs used in
  # the fixest aggregation ##
  sunab_agg   <- sunab_fixest$model_matrix_info$sunab$agg_period
  sunab_names <- base::names(sunab_fixest$coefficients)
  sunab_sel   <- base::grepl(sunab_agg, sunab_names, perl=TRUE)
  sunab_names <- sunab_names[sunab_sel]
  if(!base::is.null(sunab_fixest$weights)){
    sunab_wgt <- base::colSums(sunab_fixest$weights * base::sign(stats::model.matrix(sunab_fixest)[, sunab_names, drop=FALSE]))
  } else {
    sunab_wgt <- base::colSums(base::sign(stats::model.matrix(sunab_fixest)[, sunab_names, drop=FALSE]))
  }

  #Construct matrix sunab_trans such that sunab_trans %*% non-aggregated coefs = aggregated coefs,
  sunab_cohorts <- base::as.numeric(base::gsub(base::paste0(".*", sunab_agg, ".*"), "\\2", sunab_names, perl=TRUE))
  sunab_mat     <- stats::model.matrix(~ 0 + base::factor(sunab_cohorts))
  sunab_trans   <- base::solve(base::t(sunab_mat) %*% (sunab_wgt * sunab_mat)) %*% base::t(sunab_wgt * sunab_mat)

  #Get the coefs and vcv
  sunab_coefs   <- sunab_trans %*% base::cbind(sunab_fixest$coefficients[sunab_sel])
  sunab_vcov    <- sunab_trans %*% sunab_fixest$cov.scaled[sunab_sel, sunab_sel] %*% base::t(sunab_trans)

  base::return(base::list(beta    = sunab_coefs,
                          sigma   = sunab_vcov,
                          cohorts = base::sort(base::unique(sunab_cohorts))))
}