igerber · igerber · May 24, 2026 · May 24, 2026 · May 24, 2026 · May 24, 2026
diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -11,6 +11,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 - **`CallawaySantAnna.cluster=` silent no-op (Phase 1b interstitial).** `CallawaySantAnna(cluster="state").fit(...)` previously accepted the argument, stored it, returned it from `get_params()`, but never consumed it anywhere in the fit / aggregator / bootstrap pipeline (`staggered.py:154-156` docstring claimed "Defaults to unit-level clustering" — but for bare `cluster=X`, the aggregator at `staggered_aggregation.py:193-213` computed per-unit IF variance regardless, and the bootstrap at `staggered_bootstrap.py:323-347` drew per-unit multiplier weights regardless). Users who explicitly set `cluster="state"` got per-unit inference with no warning — typically SE too small under intra-cluster correlation. **Survey-PSU clustering via `survey_design=SurveyDesign(psu="state")` was NOT affected** and continued to cluster correctly via `_compute_stratified_psu_meat`. The fix synthesizes a minimal `SurveyDesign(psu=self.cluster, weight_type="pweight")` when bare `cluster=` is set without an explicit survey design, threading the synthesized PSU through the existing survey-PSU machinery (aggregator + bootstrap). A new dedicated `df_inference` field on `CallawaySantAnnaResults` carries the cluster-level df for the bare-cluster-synthesize path ONLY (where `survey_metadata` is intentionally `None` to preserve the `DiagnosticReport.survey_metadata is not None` skip at `diagnostic_report.py:848-856` + `:1150-1158` for "Original fit used a survey design" reasoning, and the `summary()` survey block render at `staggered_results.py:235-238`). `HonestDiD` at `honest_did.py` prefers `survey_metadata.df_survey` first (the actual CS-internal df, which may be tightened post-resolve for replicate designs) and falls back to `df_inference` for bare-cluster fits — so downstream consumers always see the cluster df without overriding the post-recompute survey df. When `survey_design=SurveyDesign(weights=Y)` without PSU is provided AND `cluster=X` is also set, `_inject_cluster_as_psu` injects the bare cluster as the effective PSU AND an `effective_survey_design = replace(survey_design, psu=self.cluster)` is constructed so the downstream `_validate_unit_constant_survey` catches movers (units crossing clusters across periods) on panel data via the now-PSU-bearing design; `survey_metadata` is recomputed to reflect the injected PSU. When both `cluster=X` AND `survey_design.psu=Y` are set, the explicit PSU wins via `_resolve_effective_cluster` (emits `UserWarning` if partitions differ). **`cluster= + SurveyDesign(replicate_weights=[...])` raises `NotImplementedError`**: replicate-weight variance is computed by replicate reweighting (BRR / Fay / JK1 / JKn / SDR) and ignores PSU/cluster entirely (`survey.py:104-109` enforces replicate_weights are mutually exclusive with strata/psu/fpc); honoring bare `cluster=` would silently have no effect while populating `cluster_name`/`n_clusters` on Results dishonestly. Assertive regression tests pin the fix on both panel and repeated-cross-section paths plus the survey/non-survey contract boundaries: `test_cluster_robust_ses_differ_from_unit_level`, `test_bare_cluster_works_with_panel_false_rcs`, `test_bare_cluster_synthesizes_survey_design`, `test_inject_branch_panel_mover_raises`, `test_replicate_weight_plus_cluster_rejected`, `test_bare_cluster_populates_df_inference` (asserts the dedicated cluster-df carrier is set), `test_bare_cluster_does_not_set_survey_metadata` (asserts the survey/non-survey contract is preserved — DiagnosticReport / summary() must not treat a bare-cluster fit as survey-backed), `test_explicit_survey_design_does_populate_survey_metadata` (asserts the inject-branch path still populates survey_metadata for legitimate user-provided SurveyDesign), and `test_bare_cluster_honest_did_uses_df_inference` (end-to-end: HonestDiD threads df_inference into HonestDiDResults.df_survey, preventing silent normal-theory regression on a future refactor). When `cluster=None` (default), behavior is bit-equal to pre-PR (wiring guarded by `if self.cluster is not None:`). Audit verified the no-op was CS-specific — the other 7 Phase 1b estimators (SunAbraham, StackedDiD, WooldridgeDiD, ImputationDiD, TripleDifference, TwoStageDiD, EfficientDiD) handle bare `cluster=` correctly.
 
 ### Added
+- **TripleDifference `vcov_type` input contract (Phase 1b interstitial #2, permanently narrow).** `TripleDifference(vcov_type=...)` now accepts `{"hc1"}` only (default). The analytical-sandwich families `{classical, hc2, hc2_bm}` and `conley` spatial-HAC are REJECTED at `__init__` with methodology-rooted messages mirroring the CS interstitial. The rejection is **library-architectural, not paper-prescribed**: TripleDifference uses influence-function-based variance per Ortiz-Villavicencio & Sant'Anna (2025) arXiv:2505.09942 — the 3-pairwise-DiD decomposition `inf = w3·IF_3 + w2·IF_2 - w1·IF_1` has no single design matrix to compute hat-matrix leverage `1/(1-h_ii)` or Bell-McCaffrey Satterthwaite DOF on. The narrow contract is permanent and applies to the remaining IF-based estimators (`ImputationDiD`, `EfficientDiD`) when their `vcov_type` threading PRs land. `hc1` with `cluster=None` ≡ per-unit IF variance (`std(inf)/sqrt(n)`); `hc1` with `cluster=X` ≡ CR1 Liang-Zeger on the combined IF (`(G/(G-1)) · Σ_c (Σ_{i∈c} ψ_i)² / n²`, plain CR1 — no Stata-style `(n-1)/(n-p)` finite-sample factor because the IF has no design-matrix `p` in the OLS sense); `hc1` with `survey_design=` ≡ TSL on the combined IF (analytical or replicate). All three paths are unchanged at machine precision (default behavior bit-equal across all 3 estimation methods `{dr, reg, ipw}`). `vcov_type` and `cluster_name` fields added to `TripleDifferenceResults`, threaded through `to_dict()`. `summary()` routes the variance-family label through the shared `_format_vcov_label` (`results.py:49-89`): bare fits render `"HC1 heteroskedasticity-robust"`, clustered fits render `"CR1 cluster-robust at <cluster_name>, G=<n>"` (since the actual algebra is Liang-Zeger CR1 on the combined IF), and survey-backed fits suppress the variance-estimator line entirely (the Survey Design block already names design + n_psu + df, and the analytical SE is TSL on the combined IF — a raw "hc1" label would misstate the inference path). **`cluster= + SurveyDesign(replicate_weights=[...])` raises `NotImplementedError`** at `fit()`: replicate-weight variance is computed by replicate reweighting (BRR / Fay / JK1 / JKn / SDR) and ignores PSU/cluster entirely; honoring bare `cluster=` would silently have no effect on the variance estimate while populating `cluster_name`/`n_clusters` on Results dishonestly. Mirrors the `CallawaySantAnna` guard from PR #487. Under `survey_design.psu` (non-replicate path) `cluster_name`/`n_clusters` on Results are suppressed (set to None) so they can't misreport the raw cluster argument when the resolver picks the survey PSU instead. `set_params(vcov_type=...)` mirrors CS pattern (mutate-then-validate-at-use, no atomic validation); `fit()` re-validates `vcov_type` at use time so a `set_params(vcov_type="hc4")` mutation surfaces a clear error at fit-time rather than silently propagating to Results metadata. **Interstitial PR #2** (after CS PR #487) rather than full Phase 1b PR 4/8 vcov_type threading — the narrow surface is methodologically dictated by TripleDifference's IF-based variance, not a deferral. New `TestTripleDifferenceVcovType` class in `tests/test_triple_diff.py` covers the 5-surface contract (default/cluster/survey bit-equal, `__init__` rejection per family, `fit()`-time revalidation) plus 8 introspection / convenience-function tests. REGISTRY.md "IF-based variance estimators vs analytical-sandwich estimators" cross-reference section updated to list `TripleDifference` alongside `CallawaySantAnna` in the "Enforced today" tier. Phase 1b PR 4/8 (full `{classical, hc1, hc2, hc2_bm}` threading) resumes on a different estimator (TwoStageDiD) post-merge; the two remaining IF-based estimators (`ImputationDiD`, `EfficientDiD`) follow the same narrow-contract template.
 - **CallawaySantAnna `vcov_type` input contract (Phase 1b interstitial, permanently narrow).** `CallawaySantAnna(vcov_type=...)` now accepts `{"hc1"}` only (default). The analytical-sandwich families `{classical, hc2, hc2_bm}` and `conley` spatial-HAC are REJECTED at `__init__` with methodology-rooted messages. The rejection is **library-architectural, not paper-prescribed**: CS uses influence-function-based variance per Callaway & Sant'Anna (2021) — per-(g,t) doubly-robust / IPW / outcome-regression structure — and has no single design matrix to compute hat-matrix leverage `1/(1-h_ii)` or Bell-McCaffrey Satterthwaite DOF on. The narrow contract is permanent and applies to other IF-based estimators (ImputationDiD, EfficientDiD) when their `vcov_type` threading PRs land. `hc1` with `cluster=None` ≡ per-unit IF variance (Williams 2000 form); `hc1` with `cluster=X` ≡ CR1 Liang-Zeger on the IF activated via the cluster= wiring fix above. Documentation in `docs/methodology/REGISTRY.md` "IF-based variance estimators vs analytical-sandwich estimators" subsection. `vcov_type`, `cluster_name`, `n_clusters`, `df_inference` added to `CallawaySantAnnaResults` (the canonical PSU column wins for `cluster_name` reporting — `survey_design.psu` when explicit PSU is provided, `self.cluster` when bare cluster synthesizes/injects). `set_params(vcov_type=...)` mirrors SA pattern (mutate-then-refresh `_vcov_type_explicit`, no atomic validation); `fit()` re-validates `vcov_type` at use time so a `set_params(vcov_type="hc4")` mutation surfaces a clear error at fit-time rather than silently propagating to Results metadata. **Interstitial PR** rather than full Phase 1b PR 4/8 vcov_type threading — the narrow surface is methodologically dictated by CS's IF-based variance, not a deferral. Phase 1b PR 4/8 (full {classical, hc1, hc2, hc2_bm} threading) resumes on a different estimator post-merge.
 - **TripleDifference cluster-changes-SE defensive regression test.** Added `tests/test_triple_diff.py::TestTripleDifferenceClusterDefensive::test_cluster_changes_ses` asserting that `TripleDifference(cluster="state")` produces SE differing from `cluster=None` SE by `>1e-6` on a fixed-seed panel with state-level random effects. Defensive coverage closes a test gap identified during the Phase 1b cluster-wiring audit; TripleDifference's bare-cluster code path (`triple_diff.py:1245-1259`) was already correct but lacked a positive regression test. Mirrors `tests/test_two_stage.py::test_cluster_changes_ses`.
 - **TwoStageDiD: parity with SpilloverDiD Wave E.3 — always-treated unit drop preserves full-domain survey design via zero-padded scores.** Closes the parity follow-up tracked at `TODO.md` after PR #482 (SpilloverDiD Wave E.3, merge `24de9062`). When TwoStageDiD detects always-treated units (`first_treat <= min_time`) and removes them from the OLS sample, the resolved survey design retains its FULL-DOMAIN `n_psu` / `n_strata` / `df_survey` / `strata` / `fpc` / `psu` arrays instead of being subsetted via `replace(resolved_survey, ...)`. Per-cluster stage-1 / stage-2 score aggregates are computed at the post-drop fit-sample length and then zero-padded onto the full-domain unique-PSU list before stratified-meat dispatch via two new optional kwargs on `_compute_gmm_variance`: `score_pad_mask` (full-domain boolean keep mask) and `cluster_ids_full` (full-domain post-injection PSU labels). PSUs containing only always-treated rows get zero score rows but still count toward `G_full` for `n_psu` / `df_survey` accounting. **Documented synthesis (library-convention adoption, NOT new methodology):** adopts the canonical "zero-pad scores + retain full-design resolved survey" convention from R `survey::svyrecvar(subset())` (Lumley 2010 §2.5) already established in `diff_diff/imputation.py:2175-2183` (PreTrendsImputation), `diff_diff/prep.py:1401-1432` (DCDH cell variance), and `diff_diff/spillover.py` (PR #482 Wave E.3). **Mechanical realization:** `two_stage.py:1485-1525` design-subset block deleted (the `replace(resolved_survey, ...)` subset + `n_psu` / `n_strata` recompute + post-drop `compute_survey_metadata` call); `keep_mask` promoted to `fit()`-level scope (always defined, all-True when no always-treated drop); `survey_weights = survey_weights[keep_mask.values]` retained for stage-1 / stage-2 OLS arithmetic; cluster injection block updated to source `cluster_ids_raw` from FULL-DOMAIN `data[cluster_var].values` (not post-drop `df[cluster_var].values`) so `_inject_cluster_as_psu`'s zip against `resolved_survey.strata` (full-domain) stays length-aligned; `df["_survey_cluster"]` aligned to post-drop length via `resolved_survey.psu[keep_mask.values]`; post-injection `compute_survey_metadata` uses full-domain `raw_w` from `data[survey_design.weights]`. `_compute_gmm_variance` adds the zero-pad expansion after the per-cluster aggregation (mapping fit-sample `unique_clusters` into `unique_clusters_full` positions via `np.searchsorted`) and updates the strata/fpc `obs_idx` lookups to use `cluster_ids_for_lookup = cluster_ids_full` when padding is active. The three inner stage-2 methods (`_stage2_static`, `_stage2_event_study`, `_stage2_group`) thread the new kwargs through; bootstrap-resample call sites keep default `None` (no behavior change on bootstrap path). **Always-treated warning text updated:** "Associated survey weights subsetted for stage-1 / stage-2 OLS; full-domain survey design retained for variance estimation (Wave E.3 parity)." replaces the prior "and design arrays adjusted" claim. **No-survey path unchanged:** when `resolved_survey is None`, both `score_pad_mask` and `cluster_ids_full` default to `None` and the existing post-drop scoring path runs bit-identically. **Replicate variance + always-treated drop:** existing path unchanged (replicate refit handles resampling at the survey-design level; `score_pad_mask_arg` is `None` on `_uses_replicate_ts` paths). **Tests:** new `TestTwoStageDiDWaveE3ParityAlwaysTreated` class in `tests/test_two_stage.py` (8 tests: no-always-treated baseline, full-domain `df_survey` preservation under drop, full-domain `n_psu` reporting, per-cluster zero-pad mock-spy on `_compute_stratified_meat_from_psu_scores`, subpopulation + always-treated composition, cluster-as-PSU + always-treated, no-survey path unchanged, PSU entirely-always-treated). REGISTRY.md TwoStageDiD section gains a "documented synthesis — Wave E.3 parity" note; SpilloverDiD Wave E.3 section updated to mark the TwoStageDiD parity follow-up as shipped.