The Confidence Interval of Cross-Sectional Distribution of Durations

Huw Dixon and Maoshan Tian ()
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Maoshan Tian: Cardiff Business School

No E2022/15, Cardiff Economics Working Papers from Cardiff University, Cardiff Business School, Economics Section

Abstract: Cross-Sectional Distribution of Durations (CSD). In this paper, we apply Fieller's method and Delta method to derive confidence interval of CSD with Tian and Huw s variance formulae. (CSD) is a new estimators derived by Dixon (2012). It can be applied in general Taylor model (GT E) by Dixon and Bihan (2012a) and hospital waiting times by Dixon and Siciliani (2009). We use Monte Carlo simulations to evaluate the empirical size of Fieller's method and delta method among different sample sizes. The empirical results show that Fieller's method is superior to delta method in terms of estimating the confidence interval of CSD even both methods are available. Finally, we use both methods to two data sets: the UK CPI micro-price data and waiting time data from UK hospitals. All the estimators are located in their confidence intervals.Length: 27 pages

Keywords: Fieller's Method; Delta Method; Confidence Interval (search for similar items in EconPapers)
JEL-codes: C10 C15 E50 (search for similar items in EconPapers)
Date: 2022-08
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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