Adjusted-range self-normalized confidence interval construction for censored dependent data

Jiajing Sun, Yongmiao Hong, Oliver Linton and Xiaolu Zhao

Economics Letters, 2022, vol. 220, issue C

Abstract: This paper proposes an adjusted-range based self-normalization (SN) method to construct confidence intervals for censored dependent data, which helps to circumvent the long-run variance estimation and tuning parameter selection problems. Simulation studies confirm the validity of this new approach.

Keywords: Adjusted-range; Censored dependent data; Empirical likelihood; Self-normalization; Survival analysis (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:220:y:2022:i:c:s0165176522003470

DOI: 10.1016/j.econlet.2022.110873

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