Created
February 26, 2026 16:38
-
-
Save carlislerainey/18d718cde4120e1d2936e9c2d5ef90c3 to your computer and use it in GitHub Desktop.
Undercoverage due to SOP
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| # Coverage of the narrowest 10% of 90% CIs (HC2 SEs, Wald) | |
| # Normal-linear model, N = 20, balanced assignment to treatment/control | |
| library(sandwich) | |
| set.seed(1234) | |
| n_sims <- 10000 | |
| n <- 20 | |
| beta <- 0.5 # true treatment effect | |
| treatment <- rep(0:1, each = n / 2) | |
| z_crit <- qnorm(0.95) | |
| # storage | |
| est <- ci_lower <- ci_upper <- ci_width <- numeric(n_sims) | |
| for (i in seq_len(n_sims)) { | |
| y <- beta * treatment + rnorm(n) | |
| fit <- lm(y ~ treatment) | |
| # HC2 standard error for treatment coefficient | |
| se_hc2 <- sqrt(vcovHC(fit, type = "HC2")[2, 2]) | |
| # Wald 90% CI | |
| est[i] <- coef(fit)["treatment"] | |
| ci_lower[i] <- est[i] - z_crit * se_hc2 | |
| ci_upper[i] <- est[i] + z_crit * se_hc2 | |
| ci_width[i] <- 2 * z_crit * se_hc2 | |
| } | |
| covers <- (ci_lower <= beta) & (ci_upper >= beta) | |
| # overall coverage | |
| cat("Overall coverage:", mean(covers), "\n") | |
| # narrowest 10% | |
| cutoff <- quantile(ci_width, 0.10) | |
| narrow <- ci_width <= cutoff | |
| cat("Narrowest 10% coverage:", mean(covers[narrow]), "\n") | |
| cat("N in narrowest 10%:", sum(narrow), "\n") |
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment