R/get_DML_CI.R

In TSCI: Tools for Causal Inference with Possibly Invalid Instrumental Variables

#' Confidence Interval and P-Value for Multi-Splitting.
#'
#' @param Coef an vector of coefficient estimates.
#' @param SE an vector of standard errors of the same size as \code{Coef}.
#' @param level the confidence level required.
#'
#' @return A list with three elements. \code{se}, \code{CI} and \code{p_value}.
#' @noRd
#' @importFrom stats qnorm quantile
get_DML_CI <- function(Coef, SE, level) {
  # this functions returns the standard error, confidence interval and p-value
  # applying the method introduced in Chernozhukov et al. (2018).
  alpha <- 1 - level
  Coef_med <- quantile(Coef, probs = 0.5)
  se <- quantile(sqrt(SE^2 + (Coef - Coef_med)^2), probs = 0.5)
  lower <- Coef_med - qnorm(1 - alpha / 2) * se
  upper <- Coef_med + qnorm(1 - alpha / 2) * se
  p_value <- p_val(Coef_med, se, 0)
  return(list(se = se, CI = c("lower" = lower, "upper" = upper), p_value = p_value))
}