Adjusted-range self-normalized confidence interval construction for censored dependent data

C-Tier

Journal: Economics Letters

Year: 2022

Volume: 220

Issue: C

Authors (4)

Sun, Jiajing (not in RePEc) Hong, Yongmiao (University of Chinese Academy ...) Linton, Oliver (University of Cambridge) Zhao, Xiaolu (not in RePEc)

Score contribution per author:

0.251 = (α=2.01 / 4 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Abstract

This paper proposes an adjusted-range based self-normalization (SN) method to construct confidence intervals for censored dependent data, which helps to circumvent the long-run variance estimation and tuning parameter selection problems. Simulation studies confirm the validity of this new approach.

Adjusted-range self-normalized confidence interval construction for censored dependent data

Authors (4)

Abstract

Technical Details