constructOriginalCS {HonestDiD}

Constructs original confidence interval for parameter of interest, theta = l_vec'tau.

Description

Constructs original confidence interval for parameter of interest, theta = l_vec'tau using the user-specified estimated event study coefficients and variance-covariance matrix.

Usage

constructOriginalCS(betahat, sigma,
                    numPrePeriods, numPostPeriods,
                    l_vec = .basisVector(index = 1, size = numPostPeriods),
                    alpha = 0.05)

Arguments

betahat

Vector of estimated event study coefficients.

sigma

Covariance matrix of event study coefficients.

numPrePeriods

Number of pre-periods.

numPostPeriods

Number of post-periods.

l_vec

Vector of length numPostPeriods that describes the scalar parameter of interest, theta = l_vec'tau. Default equals to first basis vector, (1, 0, ..., 0)

alpha

Desired size of the robust confidence sets. Default equals 0.05 (corresponding to 95% confidence interval)

Value

Returns a dataframe with columns

lb

Lower bound of original confidence set (based on asymptotic normality).

ub

Upper bound of original confidence set (based on asymptotic normality).

method

Method for constructing confidence set; set to "Original".

Delta

The set Delta that was specified; set to NA.

Examples

  # Simple use case; for more detailed examples,
  # see <https://github.com/asheshrambachan/HonestDiD#honestdid>
  constructOriginalCS(betahat        = BCdata_EventStudy$betahat,
                      sigma          = BCdata_EventStudy$sigma,
                      numPrePeriods  = length(BCdata_EventStudy$prePeriodIndices),
                      numPostPeriods = length(BCdata_EventStudy$postPeriodIndices),
                      alpha          = 0.05)