Arbeitspapier

The confidence interval of the cross-sectional distribution of durations

Tian and Dixon (2022) derived the variance of the estimator of cross-sectional distribution of durations (CSD). In this paper, we apply both Fieller's method and the Delta method to derive confidence interval of CSD using this variance formula. (CSD) is a new estimator derived by Dixon (2012). It can be applied in general Taylor model (GT E) by Dixon and Bihan (2012) and hospital waiting times by Dixon and Siciliani (2009). We use Monte Carlo simulations to evaluate the empirical size of Fieller's method and delta method among different sample sizes. The empirical results show that both Fieller's method and the delta method are valid in terms of estimating the confidence interval of CSD. Finally, we use both methods for real data set: the UK CPI micro-price data. Depending on the application, we see that both methods provide reasonable CIs for CSD estimators.

Sprache
Englisch

Erschienen in
Series: Cardiff Economics Working Papers ; No. E2022/15

Klassifikation
Wirtschaft
Econometric and Statistical Methods and Methodology: General
Statistical Simulation Methods: General
Monetary Policy, Central Banking, and the Supply of Money and Credit: General
Thema
Fieller's Method
Delta Method
Confidence Interval

Ereignis
Geistige Schöpfung
(wer)
Dixon, Huw
Tian, Maoshan
Ereignis
Veröffentlichung
(wer)
Cardiff University, Cardiff Business School
(wo)
Cardiff
(wann)
2022

Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Dixon, Huw
  • Tian, Maoshan
  • Cardiff University, Cardiff Business School

Entstanden

  • 2022

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