Confidence bounds for the extremum determined by a quadratic regression

Jeanette Lye and Joseph Hirschberg

No 217, Econometric Society 2004 Australasian Meetings from Econometric Society

Abstract: A quadratic function is frequently used in regression to infer the existence of an extremum in a relationship. Examples abound in fields such as economics, epidemiology and environmental science. However, most applications provide no formal test of the extremum. Here we compare the Delta method and the Fieller method in typical applications and perform a Monte Carlo study of the coverage of these confidence bounds. We find that unless the parameter on the squared term is estimated with great precision, the Fieller confidence interval may posses dramatically better coverage than the Delta method

Keywords: Turning Point; Fieller interval; U-shaped (search for similar items in EconPapers)
JEL-codes: C12 C13 C14 (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-ecm and nep-ifn
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://repec.org/esAUSM04/up.11216.1077841765.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecm:ausm04:217

Access Statistics for this paper

More papers in Econometric Society 2004 Australasian Meetings from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().