Confidence intervals for drlate fits

Usage

# S3 method for class 'drlate'
confint(object, parm, level = 0.95, method = c("default", "fieller"), ...)

Arguments

object: A fitted drlate() object.
parm: Coefficients to include (names or indices); defaults to all three reported quantities.
level: Confidence level.
method: "default" gives Wald intervals from the joint sandwich (or bootstrap percentile intervals when the fit used vcov = "bootstrap"). "fieller" inverts the test of num - t * denom = 0 using the joint covariance of the numerator and denominator, giving a confidence set for the LATE/LATT ratio that remains valid when the first stage is weak; the set may be an interval, the complement of an interval, or the whole line, and is returned as a "drlate_fieller" object with its own print method.
...: Currently unused.

Value

For method = "default", a numeric matrix with one row per requested coefficient (parm) and two columns holding the lower and upper confidence limits. The columns are labelled with the corresponding percentiles (for the default 95% level, "2.5 %" and "97.5 %"). The limits are Wald intervals from the joint sandwich covariance, or percentile intervals from the resampling draws when the fit was computed with vcov = "bootstrap".

For method = "fieller", an object of class "drlate_fieller": a list describing the weak-instrument-robust confidence set for the LATE/LATT ratio (its endpoints and shape, the estimand name, and the confidence level), with its own print method. Because a Fieller set need not be a bounded interval, it is returned in this form rather than as a matrix of endpoints.