wald_univariate: Compute Wald-type univariate confidence interval
In omkarakatta/ivqr: Instrumental Variables Quantile Regression

wald_univariate

R Documentation

Compute Wald-type univariate confidence interval

See (3.11) from Chernozhukov and Hansen (2006).

wald_univariate(
  center,
  endogeneous,
  index,
  resid,
  alpha = 0.1,
  tau,
  D,
  X,
  Z,
  Phi = linear_projection(D, X, Z),
  psi = 1
)

`center`	MILP point estimate that is the center of the univariate confidence interval (scalar)
`endogeneous`	If TRUE (default), `index` refers to the coefficients on the endogeneous variables; if FALSE, `index` refers to the coefficients on the exogeneous variables (boolean)
`index`	Index of the coefficient of interest (numeric between 1 and p_D if `endogeneous` is TRUE; numeric between 1 and p_X if `endogeneous` is FALSE)
`resid`	MILP residuals associated with point estimate
`alpha`	Alpha level of the test; defaults to 0.1; used to compute critical value and the Hall and Sheather bandwidth (for estimating J_Psi(tau) in CH (2006))
`tau`	Quantile (number between 0 and 1)
`D`	Matrix of endogeneous variables
`X`	Matrix of covariates (including intercept)
`Z`	Matrix of instruments (only relevant for obtaining `Phi`)
`Phi`	Transformed matrix of instruments; defaults to linear projection of D on X and Z
`psi`	Scalar coefficient in front of the variance-covariance matrix; useful for tuning MCMC subsampling (see `mcmc_active_basis`); defaults to 1