Constructs an upper bound for M using the observed pre-period event study coefficients. This is constructed using (1-alpha) level one-sided upper confidence intervala for the second differences of the observed pre-period event study coefficients. The number of pre-periods (not including the reference period) must be larger than or equal to two.
DeltaSD_upperBound_Mpre(betahat, sigma, numPrePeriods, alpha = 0.05)Returns a scalar that equals the maximum of the upper bounds of one-sided upper confidence intervals for the observed second differences of the pre-period event study coefficients.
Vector of estimated event study coefficients.
Covariance matrix of event study coefficients.
Number of pre-periods. Must be larger than or equal to two.
Desired size of the one-sided confidence set. Default equals 0.05 (corresponding to 95% confidence interval)
Ashesh Rambachan
This function returns the maximum of the upper bounds of one-sided upper confidence intervals for the observed second differences of the pre-period event study coefficients.
Rambachan, Ashesh and Jonathan Roth. "An Honest Approach to Parallel Trends." 2021.