Computing Simultaneous Confidence Bands in Stata

Simultaneous confidence bands are versatile tools for visualizing estimation uncertainty for parameter vectors (Montiel Olea and Plagborg-Møller 2019).

This repo houses a Stata function that computes the critical values underlying the simultaneous sup-t confidence bands proposed in Montiel Olea and Plagborg-Møller (2019).

Installation

cap ado uninstall estimate_supt_critical_value
net install estimate_supt_critical_value, from("https://raw.githubusercontent.com/ryanedmundkessler/simultaneous_confidence_bands/master/ado/")

Example

example.do shows how the simultaneous sup-t confidence bands can be estimated and plotted alongside their pointwise counterparts

Unit Tests

The repo houses two sets of unit tests:

• basic_functionality.do : This set asserts basic functionality
• monte_carlo.do : This set asserts expected coverage rates for a given data generating process

Both sets of unit tests can be executed by running make.py.

Authors

Sergey Egiev
Brown University

Ryan Kessler
Brown University
Email: [email protected]

Michael Sielski
Brown University

License

This project is licensed under the MIT License. See the LICENSE file for details

References

Montiel Olea, José Luis and Mikkel Plagborg-Møller. 2019. Simultaneous Confidence Bands: Theory, Implementation, and an Application to SVARs. Journal of Applied Econometrics.