Regression Sampling in Statistical Auditing: A Practical Survey and Evaluation

Jack Kleijnen (), J. Kriens, H. Timmermans and H. van den Wildenberg

Statistica Neerlandica, 1989, vol. 43, issue 4, 193-209

Abstract: Several confidence intervals for the regression estimator are surveyed. A Monte Carlo experiment, based on the NETER and LOEBBECKE (1975) populations, gives estimated coverages and lengths of the different confidence intervals. One interval is exact under the assumption of multivariate normal distributions; it gives longer intervals (hence better coverages) than the interval based on a popular variance estimator. An interval due to ROBERTS (1970) is much too long. Jackknifing gives robust intervals. Rules of thumb for practitioners are given.

Date: 1989
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