Economics - Research Publications

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Start date: 2018 × End date: 2018 × Author: Hirschberg, Joseph × Author: Lye, Jeanette ×

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    Confidence Intervals for Ratios: Econometric Examples with Stata
    Lye, JN ; Hirschberg, JG (Elsevier BV, 2018)
    Ratios of parameter estimates are often used in econometric applications. However, the test of these ratios when estimated can cause difficulties since the ratio of asymptotically normally distributed random variables have a Cauchy distribution for which there are no finite moments. This paper presents a method for the estimation of confidence intervals based on the Fieller approach that has been shown to be preferable to the usual Delta method. Using example applications in both Stata and R, we demonstrate that a few extra steps in the examination of the estimate of the ratio may provide a confidence interval with superior coverage.
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    Grading Journals in Economics: The ABCs of the ABDC
    Hirschberg, JG ; Lye, JN ( 2018-01-01)
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    Ratios of Parameters: Some Econometric Examples
    Lye, J ; Hirschberg, J (WILEY, 2018-12)
    Abstract Ratios of parameter estimates are often used in econometric applications. However, constructing confidence intervals (CIs) for these ratios can cause difficulties since the ratio of asymptotically normally distributed random variables are Cauchy distributed and thus have no finite moments. This article presents a method for the estimation of CIs based on the Fieller approach that has been shown to be preferable to the usual Delta method. Using example applications in Stata and R, we demonstrate that a few extra steps in the examination of the estimate of the ratio can provide a CI with superior coverage.