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Support for Simultaneous CIs in coefplot() and iplot() #488

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s3alfisc opened this issue Jun 7, 2024 · 0 comments
Open

Support for Simultaneous CIs in coefplot() and iplot() #488

s3alfisc opened this issue Jun 7, 2024 · 0 comments
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enhancement New feature or request good first issue Good for newcomers

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@s3alfisc
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s3alfisc commented Jun 7, 2024

Context

The confint() method allows for simultaneous confidence intervals via a multiplier bootstrap when setting joint = True. It would be nice to be able to be able to plot simultaneous confidence intervals.

To Do

  • Store an object self._conf_int_simult in the Feols / DiD classes that is a empty np.array by default
  • Add an argument joint to the following methods: Feols.coefplot, Feols.iplot, TWFE.iplot, DID2S.iplot.
  • If joint = True, use simultaneous CIs for plotting the confidence intervals.
  • If simultaneous CIs are not computed, run confint(..., joint = True) and assign the result to self._conf_int_simult
  • Currently, I do not think that we can compute joint CIs for the LPDID.iplot, we'd have to compute a vcovSUR variance covariance.matrix of the stacked regressions Inference: Implement vcovSUR for seemingly unrelated regression #428.
  • Add some basic API tests.
@s3alfisc s3alfisc added enhancement New feature or request good first issue Good for newcomers labels Jun 7, 2024
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