Providing Intuition to the Fieller Method with Two Geometric Representations using STATA and Eviews

Joseph Hirschberg and Jeanette Lye

No 992, Department of Economics - Working Papers Series from The University of Melbourne

Abstract: The Fieller Method for the construction of confidence intervals for ratios of the expected value of two normally distributed random variables has been shown by a number of authors to be a superior method to the delta approximation. However, it is not widely used due in part, to the tendency to present the intervals only in a formula context. In addition, potential users have been deterred by the potential difficulty in interpreting non-finite confidence intervals when the confidence level is less than 100%. In this paper we present two graphical methods which can be easily constructed using two widely used statistical software packages (Eviews and Stata) for the representation of the Fieller intervals. An application is presented to assess the results of a model of the non-accelerating inflation rate of unemployment (NAIRU).

Keywords: Fieller method; ratios of parameters; confidence interval; confidence ellipsoid; 1st derivative function; NAIRU; EViews; STATA (search for similar items in EconPapers)
JEL-codes: C12 C20 E24 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2007
New Economics Papers: this item is included in nep-ecm and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:mlb:wpaper:992

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