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Interval Estimation in Structural Errors-in-Variables Model with Partial Replication

โœ Scribed by L. Huwang

Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
494 KB
Volume
55
Category
Article
ISSN
0047-259X

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โœฆ Synopsis

Confidence sets are constructed for the coefficients in a structural errors-invariables model with partial replication. These confidence sets are different from the traditional asymptotic confidence sets which have zero confidence levels, where the confidence level of a confidence set is defined to be the infimum coverage probability over the parameter space. The proposed confidence sets have positive confidence levels. Furthermore, it is shown that they have coverage probabilities converging to the nominal levels uniformly in all parameters as the sample size goes to infinity. An optimality property of the proposed confidence set for the slope in the model is also demonstrated. ' 1995 Academic Pres. Inc

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