EMPIRICAL LIKELIHOOD CONFIDENCE INTERVALS FOR DEPENDENT DURATION DATA

Anouar El Ghouch, Ingrid Van Keilegom () and Ian W. McKeague

Econometric Theory, 2011, vol. 27, issue 1, 178-198

Abstract: Three types of confidence intervals are developed for a general class of functionals of a survival distribution based on censored dependent data. The confidence intervals are constructed via asymptotic normality (Wald’s method), the empirical likelihood (EL) method, and the blockwise EL method in which sample means over blocks of observations are used in place of the original data. Asymptotic results are derived to accurately calibrate the various procedures, and their performance is evaluated in a simulation study. The problem of the choice of the block size is also discussed.

Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:27:y:2011:i:01:p:178-198_00

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