Providing Intuition to the Fieller Method with Two Geometric Representations using STATA and Eviews
AbstractThe 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).
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Bibliographic InfoPaper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 992.
Length: 22 pages
Date of creation: 2007
Date of revision:
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More information through EDIRC
Fieller method; ratios of parameters; confidence interval; confidence ellipsoid; 1st derivative function; NAIRU; EViews; STATA;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-04-21 (All new papers)
- NEP-ECM-2007-04-21 (Econometrics)
- NEP-MAC-2007-04-21 (Macroeconomics)
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