R/invert_p_val.R

In fwildclusterboot: Fast Wild Cluster Bootstrap Inference for Linear Models

#' Calculation of Confidence Sets
#'
#' Inverts the bootstrap p-value and calculates confidence sets
#'
#' @param ABCD A list of precomputed objects
#' @param small_sample_correction the small sample correction to be applied
#' @param boot_iter An integer. Number of bootstrap iterations
#' @param point_estimate A scalar. Point estimate of the coefficient
#'  of interest from the regression model
#' @param se_guess A scalar vector of dimension 2. A guess of the standard
#'  error that initiates the p-value inversion.
#' @param clustid A vector with the clusters
#' @param sign_level A numeric between 0 and 1. Sets to confidence level:
#' sign_level = 0.05 returns 0.95% confidence intervals
#' @param vcov_sign Controls addition / substraction of individual covariance
#'  matrices for multiway clustering
#' @param impose_null Logical. Controls if the null hypothesis is imposed on
#'  the bootstrap dgp or not. Null imposed - WCR - by default. If FALSE,
#'   unrestricted WCU
#' @param p_val_type type Type of p-value. By default "two-tailed". Other
#' options: "equal-tailed", ">", "<"
#' @param tol the desired accuracy (convergence tolerance) for confidence
#' interval inversion. 1e-6 by default.
#' @param maxiter maximum number of iterations for confidence interval
#' inversion. 10 by default.
#' @importFrom stats uniroot
#'
#' @return A list containing the calculated confidence interval, the
#'  t-statistics and corresponding p-values used in the grid search.
#' @noRd

invert_p_val <- function(ABCD,
                         small_sample_correction,
                         boot_iter,
                         point_estimate,
                         se_guess,
                         clustid,
                         sign_level,
                         vcov_sign,
                         impose_null,
                         p_val_type,
                         tol,
                         maxiter) {
  check_arg(point_estimate, "numeric scalar")
  check_arg(se_guess, "numeric scalar")
  check_arg(clustid, "data.frame")
  check_arg(sign_level, "numeric scalar")
  # check_arg(vcov_sign)
  # check_arg(impose_null)
  # check_arg()
  # check_arg(tol)
  # check_arg(maxiter)
  
  
  # retain information from input "object"
  # ABCD <- object$ABCD
  # note: A, B are matrices, CC, CD and DD are lists
  A <- ABCD$A
  B <- ABCD$B
  CC <- ABCD$CC
  CD <- ABCD$CD
  DD <- ABCD$DD
  
  # small_sample_correction <- object$small_sample_correction
  
  # pass constant function values to p_val_null, substract sign.level & compile
  # function will be used to create grid points, and, based on the results
  # from the grid points, the root finding algorithm
  p_val_null2_x <- function(r, sign_level) {
    #' @param r Shifts the null hypothesis
    #' @param sign_level the significance level
    #' @noRd
    p_val_null2(
      r,
      A = A,
      B = B,
      CC = CC,
      CD = CD,
      DD = DD,
      clustid = clustid,
      boot_iter = boot_iter,
      small_sample_correction = small_sample_correction,
      point_estimate = point_estimate,
      impose_null = impose_null,
      p_val_type = p_val_type
    )$p_val - sign_level
  }
  
  p_val_null2_x_cmp <- compiler::cmpfun(p_val_null2_x)
  
  # --------------------------------------------------------------------- #
  # The inversion of p-values to obtain confidence sets is handled in
  # multiple steps:
  #
  # - find two spots (x1,x2;x3,x4) where p(x) crosses the
  #         significance level
  # - between the two starting values, create an equal spaced grid
  #         of 26 points between the starting values
  # - evaluate p(x) at all these points.
  # - from the two spots (upper and lower) where p(x) is closest
  #         to the significance level, start a root-finding alogorithm
  #         with tolerance e=1e-06 and maxiter = 10 by default
  # --------------------------------------------------------------------- #
  
  # --------------------------------------------------------------------- #
  # Step 1: find two values x where p(x) crosses the sign_level
  
  # define functions to find boundaries separately
  get_start_vals <- function(point_estimate,
                             se_guess,
                             sign_level,
                             upper) {
    #' @param point_estimate the point estimate of the model
    #' @param se_guess A guess for the standard deviation
    #' @param sign_level the significance / 1-coverage level of the confidence
    #' interval
    #' @param upper logical. Should the upper or lower starting value be
    #' searched for?
    #' @noRd
    
    check <- FALSE
    inflate_se <- c(2^(0:100 / 2))
    len_inflate <- length(inflate_se)
    j <- 1
    
    check_arg(upper, "logical scalar")
    
    while (check == FALSE & j <= len_inflate) {
      # cat(j, "\n")
      if (j > len_inflate) {
        break("Boottest confidence set calculation fails because no p-value <
        sign_level could succesfully be guessed.",
              call. = FALSE)
      }
      # start guesses by taking confidence interval guess times inflation factor
      if (upper == TRUE) {
        starting_vals <-
          as.numeric(point_estimate + inflate_se[j] * se_guess)
      } else if (upper == FALSE) {
        starting_vals <-
          as.numeric(point_estimate - inflate_se[j] * se_guess)
      }
      
      # find starting value
      p_candidate <-
        p_val_null2_x_cmp(r = starting_vals, sign_level = sign_level)
      
      # need to add sign_level
      p_candidate <- p_candidate + sign_level
      # cat(p_candidate, "\n")
      
      # smaller than: less "extreme" values -> higher p-values;
      # -> sign. level will be crossed
      if (p_candidate < sign_level) {
        check <- TRUE
      }
      
      j <- j + 1
    }
    res <- c(p_candidate, starting_vals)
    names(res) <- c("p_candidate", "starting_vals")
    res
  }
  
  # find starting values
  start_vals <- lapply(c(TRUE, FALSE), function(x) {
    get_start_vals(
      point_estimate = point_estimate,
      se_guess = se_guess,
      sign_level = sign_level,
      upper = x
    )
  })
  
  # order: first the "lower" p-value, then the "upper"
  p_start <-
    c(start_vals[[2]]["p_candidate"], start_vals[[1]]["p_candidate"])
  starting_vals <-
    c(start_vals[[2]]["starting_vals"], start_vals[[1]]["starting_vals"])
  
  # check if root finding was successful: find two confidence interval
  # boundaries
  # x1 & x2 so that 0 < p(x) < sign_level for x = {x1, x2}
  if (sum(p_start < sign_level) < 2) {
    rlang::abort(c(
      "The inflation factor for initial guesses for standard errors was not
      large enough. In consequence, the root-finding procedure to compute
      confidence intervals via p-value inversion could not be initiated.
      In a future release, it will be possible to specify a costum inflation
      factor as a function argument to boottest(). Until then, you can still
      use boottest() to calculate p-values by setting the boottest() function
      argument conf_int to FALSE."), 
      use_cli_format = TRUE
    )
  }
  
  # ----------------------------------------------------------------------
  # Step 2: create equal spaced grid between starting values
  grid_vals <-
    seq(
      from = min(starting_vals),
      to = max(starting_vals),
      by = abs(starting_vals[2] - starting_vals[1]) / 25
    )
  
  # later: don't have to evaluate all guesses at all points - extreme points
  # suffice - if < sign_level at both extreme points
  # then evaluate all 26 points
  p <- rep(NaN, length(grid_vals))
  
  # evaluate all test values
  for (i in 2:(length(grid_vals) - 1)) {
    p[i] <- p_val_null2_x_cmp(grid_vals[i], sign_level = sign_level)
  }
  # substract sign_level in function so that I will not need to
  # do it in root finding algorithm, but then I will need to add
  # sign_level here
  p <- p + sign_level
  # add starting p-vals (sign_level already added)
  p[1] <- p_start[1]
  p[26] <- p_start[2]
  
  # -------------------------------------------------------------------- #
  # Step 3: find spots where p crosses the significance level
  
  crossings <- (p <= sign_level) - (p > sign_level)
  x_crossings <- rep(NA, length(grid_vals))
  # should this be 2:25?
  for (i in 1:26) {
    x_crossings[i] <-
      ifelse(crossings[i] + crossings[i + 1] == 0 ||
               crossings[i] + crossings[i - 1] == 0, 1, 0)
  }
  
  # find starting values: max of grid_vals_higher and min of grid_vals_lower
  grid_vals_lower <- grid_vals[which(x_crossings == 1)][1:2]
  grid_vals_higher <- (grid_vals[which(x_crossings == 1)])[3:4]
  
  # loop over higher and lower starting values
  # optimizer: stats::uniroot (secant method), max 10 iterations & abs tol 1e-6
  res <-
    lapply(list(grid_vals_lower, grid_vals_higher), function(x) {
      p_val_null2_x_sign_level <- function(x) {
        p_val_null2_x_cmp(x, sign_level = sign_level)
      }
      tmp <- suppressWarnings(
        stats::uniroot(
          f = p_val_null2_x_sign_level,
          lower = min(x),
          upper = max(x),
          tol = tol,
          maxiter = maxiter
        )
      )
      
      tmp$root
    })
  
  # collect results from optimizer
  conf_int <- unlist(res)
  
  # package results
  res_all <- list(
    conf_int = conf_int,
    p_grid_vals = p,
    grid_vals = grid_vals
  )
  
  res_all
}