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staggeredGMM 0.1.0

First release.

Interface

• Single exported estimator gmm_staggered(), replacing the earlier gmm_staggered_I(), gmm_staggered_II() and gmm_staggered_III(). The covariance model is chosen with weighting, one of "pooled_toeplitz", "cohort_toeplitz" or "unrestricted" (GMM-T, GMM-HT and GMM-U in the paper).
• Argument names follow the did package convention: yname, tname, idname, gname.
• never_treated = NULL detects a never-treated group automatically, replacing has_nt = FALSE.
• Results are an S3 object of class staggered_gmm with print, summary, coef, vcov and confint methods.
• New gmm_j_test(): the serial-correlation robust over-identification test of parallel trends and no anticipation, in full-set and local-pre-window forms.

Estimation

• Both aggregate targets are reported: CW (treated-observation weighting, as used throughout the paper) and EW (cohort-equal weighting).
• Cohort-by-time effects with no clean comparison are reported as NA with identified = FALSE, never as an estimated zero, and are excluded from the parameter vector so that partial identification no longer disables the efficient weighting for every other cell.
• Unbalanced panels are supported: autocovariances use pairwise-complete denominators, and the variance of a group-period mean accounts for the overlap between the unit sets contributing at each pair of periods. Both reduce exactly to the complete-data formulas when the panel is balanced.
• Convergence and solve success are reported separately, with a termination reason and the final parameter change. max_iter now defaults to 100: the iteration can converge linearly at a slow rate, and sim_panel under weighting = "cohort_toeplitz" needs 86 steps.
• Failure to complete any weighted step always warns, including under weighting = "unrestricted", because the returned estimates are then the identity-weighted seed rather than a GMM estimate under the requested weighting. The warning reports how many independent moment directions the estimated weight supported, against the number of effects to identify. Merely failing to converge after a weighted step did run continues not to warn under "unrestricted", where it is routine.
• Units whose cohort falls after the last observed period are used as clean controls rather than discarded.

Validation

• A shared validator checks every documented requirement before estimation and reports the offending rows, units, periods or cohorts. Column types are rejected rather than coerced.
• Units treated at or before the first observed period now raise an error. They have no pre-treatment period, so none of their effects is identified.

Data

• beck_banks documentation now records its CC BY 4.0 licence and the thirteen always-treated states it contains.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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