Solves the regularized QP:
min over omega in Delta: sum_t (sum_i omega_i Y_it - Y_tr_t)^2 + zeta^2 * T_pre * ||omega||^2
Usage
sdid_unit_weights_cpp(Y_pre, Y_tr_pre, zeta2)
Arguments
- Y_pre
Pre-treatment outcome matrix for control units (T_pre x N_co)
- Y_tr_pre
Pre-treatment outcome vector for treated unit (T_pre x 1), averaged if multiple
- zeta2
Ridge penalty parameter (zeta^2). The code internally multiplies by T_pre per the paper.
Value
A numeric vector of length N_co holding the SDID unit weights
omega (non-negative and summing to one).
Details
This corresponds to equation (5) in Arkhangelsky et al. (2021).
