constructOriginalCS: Constructs original confidence interval for parameter of...

In HonestDiD: Robust Inference in Difference-in-Differences and Event Study Designs

Constructs original confidence interval for parameter of interest, theta = l_vec'tau.

Description

Constructs original confidence interval for parameter of interest, theta = l_vec'tau using the user-specified estimated event study coefficients and variance-covariance matrix.

Usage

constructOriginalCS(betahat, sigma,
                    numPrePeriods, numPostPeriods,
                    l_vec = .basisVector(index = 1, size = numPostPeriods),
                    alpha = 0.05)

Arguments

betahat	Vector of estimated event study coefficients.
sigma	Covariance matrix of event study coefficients.
numPrePeriods	Number of pre-periods.
numPostPeriods	Number of post-periods.
l_vec	Vector of length numPostPeriods that describes the scalar parameter of interest, theta = l_vec'tau. Default equals to first basis vector, (1, 0, ..., 0)
alpha	Desired size of the robust confidence sets. Default equals 0.05 (corresponding to 95% confidence interval)

Value

Returns a dataframe with columns

lb	Lower bound of original confidence set (based on asymptotic normality).
ub	Upper bound of original confidence set (based on asymptotic normality).
method	Method for constructing confidence set; set to "Original".
Delta	The set Delta that was specified; set to NA.

Examples

  # Simple use case; for more detailed examples,
  # see <https://github.com/asheshrambachan/HonestDiD#honestdid>
  constructOriginalCS(betahat        = BCdata_EventStudy$betahat,
                      sigma          = BCdata_EventStudy$sigma,
                      numPrePeriods  = length(BCdata_EventStudy$prePeriodIndices),
                      numPostPeriods = length(BCdata_EventStudy$postPeriodIndices),
                      alpha          = 0.05)

HonestDiD documentation built on Sept. 11, 2024, 7:40 p.m.