#' Locally linear regression discontinuity design
#'
#' Locally linear estimation and inference of treamtment effects identified
#' via regression discontinuities
#'
#' @param X The running variables.
#' @param max.second.derivative A bound on the second derivative of mu_w(x) = E[Y(w) | X = x].
#' @param bandwidth Bandwidth for the llr. If null, adaptively optimize for the bandwidth.
#' @param Y The outcomes.
#' @param num.samples Number of samples used to compute each datapoint (perhaps we only have
#' access to summary data, where each datapoint is averaged over many samples).
#' @param threshold The threshold determining treatment assignment.
#' @param sigma.sq The irreducible noise level. If null, estimated from the data.
#' @param change.derivative Whether we allow for a change in slope at the threshold.
#' @param alpha Coverage probability of confidence intervals.
#' @param max.window Maximum possible bandwidth to consider in optimization.
#' @param num.bucket Number of histogram buckets in numerical analysis.
#' @param kernel Shape of weighting function for local regression.
#' @param minimization.target Whether bandwidth should minimize maximum mse or confidence
#' interval length.
#' @param use.homoskedatic.variance Whether confidence intervals should be built assuming homoskedasticity.
#'
#' @return A trained optrdd object. Note that locally linear regression also provides
#' a linear estimator for tau, just like optrdd. The gammas simply aren't optimal.
llr = function(X,
max.second.derivative,
bandwidth = NULL,
Y = NULL,
num.samples = rep(1, length(X)),
threshold = 0,
sigma.sq = NULL,
change.derivative = TRUE,
alpha = 0.95,
max.window = NULL,
num.bucket = 600,
kernel = c("rectangular", "triangular"),
minimization.target = c("mse", "ci.length"),
use.homoskedatic.variance = FALSE) {
kernel = match.arg(kernel)
minimization.target = match.arg(minimization.target)
# We compute our estimator based on a histogram summary of the data,
# shifted such that the threshold is at 0. The breaks vector defines
# the boundaries between buckets.
if (is.null(max.window)) {
xx = seq(min(X - threshold), max(X - threshold), length.out = num.bucket)
} else {
xx = seq(-max.window, max.window, length.out = num.bucket)
}
bin.width = xx[2] - xx[1]
breaks = c(xx - bin.width/2, max(xx) + bin.width/2)
# Construct a (weighted) histogram representing the X-values.
if (!is.null(max.window)) {
inrange = which(abs(X - threshold) / max.window <= 1)
} else {
inrange = 1:length(X)
}
bucket = cut(X[inrange] - threshold, breaks = breaks)
bucket.map = Matrix::sparse.model.matrix(~bucket + 0, transpose = TRUE)
X.counts = as.numeric(bucket.map %*% num.samples[inrange])
# Naive initialization for sigma.sq if needed
if (is.null(sigma.sq)) {
if (is.null(Y)) {
warning("Setting noise level to 1 as default...")
sigma.sq = 1
} else {
regr.df = data.frame(X=X, W=X>=threshold, Y=Y)
Y.fit = lm(Y ~ X * W, data = regr.df[inrange,], weights=num.samples[inrange])
sigma.sq = sum((Y[inrange] - predict(Y.fit))^2 * num.samples[inrange]^2) /
(sum(num.samples[inrange]) - 4)
}
}
# The matrix M is used to intergrate a function over xx,
# starting at 0. The matrix M2 integrates twice.
M = outer(xx, xx, FUN=Vectorize(function(x1, x2) {
if(x1 < 0 & x2 <= 0 & x1 < x2) {return(-bin.width)}
if(x1 > 0 & x2 >= 0 & x1 > x2) {return(bin.width)}
return(0)
}))
M2 = M %*% M
if (!is.null(bandwidth)) {
bw.vec = bandwidth
} else {
if (!is.null(max.window)) {
bw.vec = c(1:40) * max.window / 40
} else {
bw.vec = c(1:40) * min(max(xx), max(-xx)) / 40
}
}
soln.vec = lapply(bw.vec, function(bw) {
# only consider counts that occurs inside the bandwidth
realized.idx = which((X.counts > 0) & (abs(xx) < bw))
num.realized = length(realized.idx)
signed.num.realized = min(sum(xx[realized.idx] > 0), sum(xx[realized.idx] < 0))
if (signed.num.realized < 2) {
return(list(max.mse=NA, max.bias=NA, homosk.plusminus=NA, gamma.xx=NA, realized.idx=NA))
}
# This optimizer learns bucket-wise gammas. Let k denote
# the bucket index, n[k] the number of observations in
# bucket k, and x[k] is the center of bucket k.
#
# We solve the following. Note that gamma[k] must be 0
# if n[k] is 0, so we only optimize gamma over realized indices.
#
# argmin sum_k gamma[k]^2 * n[k]
# subject to:
# sum_k n[k] gamma[k] = 0
# sum_k n[k] gamma[k] (2 W[k] - 1) = 2
# sum_k n[k] gamma[k] x[k] = 0
if (kernel == "rectangular") {
Dmat = diag(X.counts[realized.idx])
} else if (kernel == "triangular") {
Dmat = diag(X.counts[realized.idx] / (1 - abs(xx[realized.idx]) / bw))
}
dvec = rep(0, num.realized)
Amat = cbind(X.counts[realized.idx],
X.counts[realized.idx] * sign(xx[realized.idx]),
X.counts[realized.idx] * xx[realized.idx])
if(!change.derivative) {
bvec = c(0, 2, 0)
meq = 3
} else {
Amat = cbind(Amat,
X.counts[realized.idx] * pmax(xx[realized.idx], 0))
bvec = c(0, 2, 0, 0)
meq = 4
}
soln = quadprog::solve.QP(Dmat, dvec, Amat, bvec, meq)$solution
gamma.xx = rep(0, num.bucket)
gamma.xx[realized.idx] = soln[1:num.realized]
max.bias = max.second.derivative * sum(abs(t(M2) %*% (X.counts * gamma.xx)))
sigma.hat.homosk = sqrt(sigma.sq * sum(X.counts[realized.idx] * gamma.xx[realized.idx]^2))
max.mse = max.bias^2 + sigma.hat.homosk^2
homosk.plusminus = get.plusminus(max.bias, sigma.hat.homosk, alpha)
return(list(max.mse=max.mse,
max.bias=max.bias,
homosk.plusminus=homosk.plusminus,
gamma.xx=gamma.xx,
realized.idx=realized.idx))
})
# pick out the best soln
if(minimization.target == "mse") {
max.mse = unlist(sapply(soln.vec, function(vv) vv$max.mse))
opt.idx = which.min(max.mse)
} else {
plusmin = unlist(sapply(soln.vec, function(vv) vv$homosk.plusminus))
opt.idx = which.min(plusmin)
}
gamma.xx = soln.vec[[opt.idx]]$gamma.xx
realized.idx = soln.vec[[opt.idx]]$realized.idx
# Now map this x-wise function into a weight for each observation
gamma = rep(0, length(X))
gamma[inrange] = num.samples[inrange] * as.numeric(Matrix::t(bucket.map) %*% gamma.xx)
# Compute the worst-case imbalance...
max.bias = max.second.derivative * sum(abs(t(M2) %*% (X.counts * gamma.xx)))
# If outcomes are provided, also compute confidence intervals for tau.
if (!is.null(Y)) {
# The point estimate
tau.hat = sum(gamma * Y)
if (use.homoskedatic.variance) {
se.hat.tau = sqrt(sum(gamma^2 * sigma.sq / num.samples))
} else {
# A heteroskedaticity-robust variance estimate
regr.df = data.frame(X=X, W=X>=threshold, Y=Y)
Y.fit = lm(Y ~ X * W, data = regr.df[inrange,], weights=num.samples[inrange])
Y.resid.sq = rep(0, length(Y))
Y.resid.sq[inrange] = (Y[inrange] - predict(Y.fit))^2 *
sum(num.samples[inrange]) / (sum(num.samples[inrange]) - 4)
se.hat.tau = sqrt(sum(Y.resid.sq * gamma^2))
}
# Confidence intervals that account for both bias and variance
tau.plusminus = get.plusminus(max.bias, se.hat.tau, alpha)
} else {
tau.hat = NULL
se.hat.tau = sqrt(sigma.sq * sum(gamma^2))
tau.plusminus = get.plusminus(max.bias, se.hat.tau, alpha)
}
ret = list(tau.hat=tau.hat,
tau.plusminus=tau.plusminus,
alpha=alpha,
max.bias = max.bias,
sampling.se=se.hat.tau,
bandwidth=bw.vec[opt.idx],
gamma=gamma,
gamma.fun = data.frame(xx=xx[realized.idx] + threshold,
gamma=gamma.xx[realized.idx]))
class(ret) = "llr"
return(ret)
}
print.llr = function(obj) {
optrdd:::print.optrdd(obj)
}
plot.llr = function(obj) {
plot(obj$gamma.fun)
abline(h = 0, lty = 3)
}
summary.llr = function(obj) {
unlist(obj)[1:5]
}
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