Shock-level IV estimate with exposure-robust standard errors

Runs the exposure-weighted IV at the shock level (see [ssb_aggregate()]), including the shock-level controls of the Borusyak-Hull-Jaravel equivalent regression: a constant, plus period fixed effects in panels. The point estimate equals the location-level shift-share estimate (exactly so on the shift route, where the corresponding location-level controls – the sum of exposure shares, interacted with period fixed effects in panels – are in place automatically); the heteroskedasticity- or cluster-robust standard error of this shock-level regression is the exposure-robust (AKM-type) SE.

Usage

ssb_shock_iv(design, cluster = NULL, level = 0.95)

Arguments

design

An [ssb_design()] object.

cluster

Optional grouping of the shocks for a cluster-robust shock-level SE: a column name in the shocks table, or a vector of length equal to the number of shock-cells.

level

Confidence level for the reported interval.

Value

A one-row `data.frame` (class `ssb_shock_iv`) with `estimate`, `std.error`, `conf.low`, `conf.high`.

Details

The scores use the shocks *residualised* on the shock-level controls with exposure weights, \(\tilde g_n\), not the raw \(g_n\): the two give the same coefficient but different standard errors, and only the residualised version is valid (Borusyak, Hull & Jaravel; cf. their `ssaggregate` workflow, against which this calculation is aligned).