moderndid.didinter.variance.compute_clustered_variance#

moderndid.didinter.variance.compute_clustered_variance(influence_func, cluster_ids, n_groups)[source]#

Compute clustered standard error from influence function.

Computes standard errors for \(\text{DID}_\ell\) estimators using the influence function approach with optional clustering. The variance is computed as

\[\widehat{\text{Var}}(\text{DID}_\ell) = \frac{1}{G^2} \sum_{c=1}^{C} \left(\sum_{g \in c} \psi_g\right)^2\]

where \(\psi_g\) is the influence function for group \(g\), \(G\) is the total number of groups, and \(C\) is the number of clusters. When not clustering, each group is its own cluster.

Parameters:
influence_funcnumpy.ndarray

Influence function values \(\psi_g\) for each group.

cluster_idsnumpy.ndarray

Cluster identifiers for each group.

n_groupsint

Total number of groups \(G\).

Returns:
float

Clustered standard error.

References

[1]

de Chaisemartin, C., & D’Haultfoeuille, X. (2024). Difference-in- Differences Estimators of Intertemporal Treatment Effects. Review of Economics and Statistics, 106(6), 1723-1736.