*! version 12.1 2020-08-23

Title

ssci -- Short and Simple Confidence Interval

Syntax

ssci varname
[,
below(varlist)
above(varlist)
alpha(real)
type(string)
bounds(var1=real var2=real ...)
]

Description

ssci constructs adaptive confidence intervals on a parameter of
interest in the presence of nuisance parameters when some of the nuisance
parameters are bounded from below or above, following
Ketz and McCloskey (2021).
The program uses the last estimation output and user-specified lists of nuisance parameters that are either bounded from below or from above.

Options

below(varlist) list of variables whose coefficients are bounded from below

above(varlist) list of variables whose coefficients are bounded from above

alpha(real) level of significance; can only take
values .1, .05, or .01; default is .05

type(string) type of confidence interval; can take values
upper, lower, or two-sided; default is two-sided

bounds(var1=real var2=real ...) optional user-specified bounds for
variables listed in below() or above(); for example, bounds(X1=10 X2=-5) specifies the bounds on the coefficients of X1 and X2 to be 10 and -5, respectively; default is 0 for all variables

Examples

Setup

. sysuse auto

. reg price mpg rep78 headroom trunk weight length turn foreign

Two-sided 95% confidence interval for mpg when trunk is
bounded below by 0

. ssci mpg, below(trunk)

Lower one-sided 90% confidence interval for mpg when
trunk and rep78 are bounded below by 0, weight is bounded
below by 4.01, and turn is bounded above by -10

. ssci mpg, below(rep78 trunk weight) above(turn) bounds(turn=-10 weight=4.01) alpha(0.1) type(lower)

Stored results

ssci stores the Short and Simple Confidence Interval (SSCI) in the matrix e(SSCI)

References

Ketz, P. and A. McCloskey (2021).
Short and Simple Confidence Intervals when the Directions of Some Effects are Known.
Working paper.

Authors

Chad Brown, Department of Economics, University of Colorado.
chad.brown@colorado.edu.

Philipp Ketz, Paris School of Economics, CNRS.
philipp.ketz@psemail.eu.

Adam McCloskey, Department of Economics, University of Colorado.
adam.mccloskey@colorado.edu.