pyfector 0.1.1

Fast counterfactual estimators for panel data — Python reimplementation of R fect

pyfector

Alpha (v0.1.x). Results have been checked against R fect on synthetic data, but edge cases may remain. APIs may change. Please verify critical results independently. Issues and pull requests are welcome at GitHub.

Counterfactual estimators for panel data in Python. Port of the R fect package (Liu, Wang & Xu, 2024, AJPS), built on numpy, scipy, polars, and joblib, with optional CuPy GPU support.

Installation

pip install pyfector

From source:

git clone https://github.com/AlanHuang99/pyfector.git
cd pyfector
pip install -e ".[dev]"

Optional extras: pip install pyfector[gpu] (CuPy), pip install pyfector[pandas].

Quick Start

import polars as pl
import pyfector

data = pl.read_parquet("panel_data.parquet")

result = pyfector.fect(
    data=data,
    Y="outcome",
    D="treatment",
    index=("unit_id", "year"),
    X=["gdp", "population"],
    method="ife",
    r=(0, 5),
    se=True,
    nboots=500,
    seed=42,
)

result.summary()
result.plot(kind="gap")
result.diagnose()

Estimators

method="fe" -- Two-way fixed effects

Unit and time fixed effects on the control sample, counterfactuals imputed for the treated sample. Assumes parallel trends.

method="ife" -- Interactive fixed effects (Bai 2009, Xu 2017)

Adds latent factors with unit loadings on top of fixed effects. Number of factors r can be fixed or chosen by cross-validation over r=(r_min, r_max).

method="mc" -- Matrix completion (Athey et al. 2021)

Nuclear-norm-penalized matrix completion of the counterfactual matrix. Penalty lam can be fixed or selected by cross-validation.

method="cfe" -- Complex fixed effects

Unit/time-varying interactions with covariates Z and Q.

Cross-validation masks a fraction cv_prop of control cells and picks r (IFE) or lam (MC) by prediction error (mspe, gmspe, or mad).

---

Parameters

fect()

fect(
    data, Y, D, index,
    *, X=None, W=None, method="ife", force="two-way",
    r=0, lam=None, nlambda=10, CV=True, k=10, cv_prop=0.1, criterion="mspe",
    se=False, vartype="bootstrap", nboots=200, alpha=0.05,
    tol=1e-7, max_iter=5000, min_T0=1, normalize=False,
    device="cpu", n_jobs=1, seed=None,
) -> FectResult

Parameter	Type	Default	Description
data	pl.DataFrame or pd.DataFrame	required	Panel data in long format
Y	str	required	Outcome column
D	str	required	Treatment indicator (0/1)
index	(str, str)	required	(unit_id, time) column names
X	list[str]	None	Time-varying covariate columns
W	str	None	Observation weight column
method	str	"ife"	"fe", "ife", "mc", "cfe"
force	str	"two-way"	"none", "unit", "time", "two-way"
r	int or (int, int)	0	Number of factors; tuple triggers CV over range
lam	float	None	MC nuclear-norm penalty; None selects by CV
CV	bool	True	Cross-validate over r or lam
k	int	10	CV folds
cv_prop	float	0.1	Fraction of control cells masked per CV fold
criterion	str	"mspe"	CV loss: "mspe", "gmspe", "mad"
se	bool	False	Compute standard errors
vartype	str	"bootstrap"	"bootstrap" or "jackknife"
nboots	int	200	Bootstrap replications
tol	float	1e-7	EM convergence tolerance
max_iter	int	5000	Max EM iterations
min_T0	int	1	Minimum pre-treatment periods required per unit
normalize	bool	False	Normalize outcome by standard deviation
device	str	"cpu"	"cpu" or "gpu" (requires pyfector[gpu])
n_jobs	int	1	Parallel workers for CV / bootstrap
seed	int	None	Random seed

Data format

Long-format panel with one row per unit per period.

Column	Type	Description
outcome	float	Outcome variable
unit id	int/str	Unit identifier
time	int	Time period
treatment	int	0/1 treatment indicator

---

Output

fect() returns a FectResult with these fields:

Field	Type	Description
att_avg	float	Overall ATT (weighted by cell counts)
att_avg_unit	float	Unit-averaged ATT
att_on	ndarray	Dynamic ATT by relative time
time_on	ndarray	Relative time indices
count_on	ndarray	Observation count per relative time
beta	ndarray	Covariate coefficients
Y_ct	ndarray	(T, N) counterfactual outcome matrix
eff	ndarray	(T, N) treatment effect matrix
factors	ndarray	(T, r) estimated factors (IFE)
loadings	ndarray	(N, r) estimated loadings (IFE)
sigma2	float	Residual variance
r_cv	int	CV-selected r
lambda_cv	float	CV-selected lam
inference	InferenceResult	Bootstrap or jackknife results (if se=True)

Methods

Method	Description
summary()	Formatted text summary
plot(kind, **kwargs)	Matplotlib figure. Kinds: gap, status, factors, counterfactual
diagnose(...)	Diagnostic tests (see below)

Inference

When se=True, result.inference carries bootstrap or jackknife SEs and CIs for the overall ATT and per-period effects, plus the full bootstrap distribution (att_avg_boot, att_on_boot).

Diagnostics

diag = result.diagnose(
    f_threshold=0.5,
    tost_threshold=0.36,
    placebo_period=(-5, -1),
    loo=True,
)
diag.summary()

Test	Output
Pre-trend F-test	f_stat, f_pval
Equivalence F-test	equiv_f_pval
TOST	tost_pvals
Placebo	placebo_att, placebo_pval
Carryover	carryover_att, carryover_pval
Leave-one-out	loo_max_change

---

Validation against R fect

Synthetic DGP, N=200, T=50. Point estimates:

Scenario	pyfector	R fect	Difference
FE	4.995583	4.995640	-0.000057
FE + X	4.975683	4.975809	-0.000126
IFE r=2	3.010223	3.013046	-0.002822
IFE r=2 + X	2.993155	2.996099	-0.002944
MC lambda=0.01	3.176671	3.176721	-0.000050

FE and MC agree to 4-6 decimal places. IFE differences reflect SVD rotation non-uniqueness.

Bootstrap SEs (500 reps):

Scenario	pyfector	R fect	Ratio
FE	0.020011	0.021291	0.94
IFE r=2	0.017128	0.018382	0.93

Covariate coefficients agree to 6 decimal places. Comparison scripts are in benchmarks/.

---

Performance notes

Hot paths use vectorised numpy and a randomised truncated SVD for the interactive-FE update when r << min(T, N). Cross-validation and bootstrap replications parallelise over n_jobs via joblib. GPU execution is available through device="gpu" when CuPy is installed. See benchmarks/ for reproducible timing scripts.

---

Testing

uv run pytest tests/                    # full suite
uv run pytest tests/test_vs_r.py -v -s  # R validation (requires R + fect)

---

API reference

• REFERENCE.md -- parameter tables, return types
• API docs -- searchable HTML reference (pdoc)

---

References

• Liu, L., Wang, Y., & Xu, Y. (2024). "A Practical Guide to Counterfactual Estimators for Causal Inference with Time-Series Cross-Sectional Data." American Journal of Political Science, 68(1), 160-176.
• Xu, Y. (2017). "Generalized Synthetic Control Method." Political Analysis, 25(1), 57-76.
• Athey, S., Bayati, M., Doudchenko, N., Imbens, G., & Khosravi, K. (2021). "Matrix Completion Methods for Causal Panel Data Models." JASA, 116(536), 1716-1730.
• Bai, J. (2009). "Panel Data Models with Interactive Fixed Effects." Econometrica, 77(4), 1229-1279.

License

MIT