DeltaSD_upperBound_Mpre: Construct upper bound for M for Delta = Delta^{SD}(M) based...

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

Construct upper bound for M for \Delta = \Delta^{SD}(M) based on observed pre-period coefficients.

Description

Constructs an upper bound for M using the observed pre-period event study coefficients. This is constructed using (1-alpha) level one-sided upper confidence intervala for the second differences of the observed pre-period event study coefficients. The number of pre-periods (not including the reference period) must be larger than or equal to two.

Usage

DeltaSD_upperBound_Mpre(betahat, sigma, numPrePeriods, alpha = 0.05)

Arguments

betahat	Vector of estimated event study coefficients.
sigma	Covariance matrix of event study coefficients.
numPrePeriods	Number of pre-periods. Must be larger than or equal to two.
alpha	Desired size of the one-sided confidence set. Default equals 0.05 (corresponding to 95% confidence interval)

Details

This function returns the maximum of the upper bounds of one-sided upper confidence intervals for the observed second differences of the pre-period event study coefficients.

Value

Returns a scalar that equals the maximum of the upper bounds of one-sided upper confidence intervals for the observed second differences of the pre-period event study coefficients.

Author(s)

Ashesh Rambachan

References

Rambachan, Ashesh and Jonathan Roth. "An Honest Approach to Parallel Trends." 2021.

asheshrambachan/HonestDiD documentation built on July 15, 2024, 12:56 p.m.