| DeltaSD_upperBound_Mpre {HonestDiD} | R Documentation |
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.