On the construction of bounds confidence regions

被引：0

作者：

Kemp, GCR ^{[1
]}

机构：

[1] Univ Essex, Dept Econ, Colchester CO4 3SQ, Essex, England

来源：

ECONOMETRIC THEORY | 2003年 / 19卷 / 04期

关键词：

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We modify the procedure for constructing exact bounds confidence regions introduced by Dufour (1990, Econometrica 58, 475-494) so as to drop the requirement that the confidence regions for the nuisance parameters are marginal with respect to the parameters of interest, i.e., that they are the same for all values of the parameters of interest. We illustrate this modified procedure with an application to a dependent variable heteroskedasticity model and, using a Monte Carlo study, compare the confidence regions constructed by this procedure with asymptotically justified regions.

引用

页码：610 / 619

页数：10

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