benbhansen-stats / propertee

Prognostic Regression Offsets with Propagation of ERrors, for Treatment Effect Estimation (IES R305D210029).
https://benbhansen-stats.github.io/propertee/
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HC2 standard errors #153

Open jwasserman2 opened 8 months ago

jwasserman2 commented 8 months ago

Creating this issue now so I can note the following: we'll want .align_and_extend_estfuns() to order units of observation by unit of assignment so that clustered HC2 computations are more straightforward (we can create then concatenate $(I - P)_{i}^{-1/2}$ matrices for each unit of assignment $i$ and multiply them directly with the output of .align_and_extend_estfuns()). This means that if the by argument is specified in cov_adj(), we'll want to use it to align contributions to estimating equations but not order them.