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Short and Simple Confidence Intervals When the Directions of Some Effects Are Known

Author

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  • Philipp Ketz

    (CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, PJSE - Paris Jourdan Sciences Economiques - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • Adam Mccloskey

    (University of Colorado [Boulder])

Abstract

We introduce adaptive confidence intervals on a parameter of interest in the presence of nuisance parameters, such as coefficients on control variables, with known signs. Our confidence intervals are trivial to compute and can provide significant length reductions relative to standard ones when the nuisance parameters are small. At the same time, they entail minimal length increases at any parameter values. We apply our confidence intervals to the linear regression model, prove their uniform validity and illustrate their length properties in an empirical application to a factorial design field experiment and a Monte Carlo study calibrated to the empirical application.

Suggested Citation

  • Philipp Ketz & Adam Mccloskey, 2024. "Short and Simple Confidence Intervals When the Directions of Some Effects Are Known," Working Papers hal-03388199, HAL.
    • Handle: RePEc:hal:wpaper:hal-03388199
    DOI: 10.1162/rest_a_01297
    Note: View the original document on HAL open archive server: https://hal.science/hal-03388199v1
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    Cited by:

    1. Gregory Cox, 2022. "A Generalized Argmax Theorem with Applications," Papers 2209.08793, arXiv.org.

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