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cdriveraus/regressionci.R

Created October 30, 2016 19:39
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Does a 95% confidence interval contain the true parameter 95% of the time?
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regressionci.R
b=.8
n=100
nruns=10000
out<-rep(NA,nruns)
for(i in 1:nruns){
x=rnorm(n,3,2)
y=b*x + rnorm(n, 0, 3)
fit=lm(y~x)
summ=summary(fit)
upper=summ$coefficients[2,1]+2*summ$coefficients[2,2]
lower=summ$coefficients[2,1]-2*summ$coefficients[2,2]
out[i]<- b < upper & b > lower
}
sum(out)/nruns
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