Kemp, Gordon CR (2003) ON THE CONSTRUCTION OF BOUNDS CONFIDENCE REGIONS. Econometric Theory, 19 (04). pp. 610-619. DOI https://doi.org/10.1017/s0266466603194066
Kemp, Gordon CR (2003) ON THE CONSTRUCTION OF BOUNDS CONFIDENCE REGIONS. Econometric Theory, 19 (04). pp. 610-619. DOI https://doi.org/10.1017/s0266466603194066
Kemp, Gordon CR (2003) ON THE CONSTRUCTION OF BOUNDS CONFIDENCE REGIONS. Econometric Theory, 19 (04). pp. 610-619. DOI https://doi.org/10.1017/s0266466603194066
Abstract
We modify the procedure for constructing exact bounds confidence regions introduced by Dufour (1990, Econometrica 58, 475-494) so as to drop the requirement that the confidence regions for the nuisance parameters are marginal with respect to the parameters of interest, i.e., that they are the same for all values of the parameters of interest. We illustrate this modified procedure with an application to a dependent variable heteroskedasticity model and, using a Monte Carlo study, compare the confidence regions constructed by this procedure with asymptotically justified regions.
| Item Type: | Article |
|---|---|
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Economics, Department of |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 17 Jul 2012 12:00 |
| Last Modified: | 18 Aug 2022 11:00 |
| URI: | http://repository.essex.ac.uk/id/eprint/2885 |