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Regression Sampling in Statistical Auditing: A Practical Survey and Evaluation

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  • J.P.C. Kleijnen
  • J. Kriens
  • H. Timmermans
  • H. van den Wildenberg

Abstract

Several confidence intervals for the regression estimator are surveyed. A Monte Carlo experiment, based on the NETER and LOEBBECKE (1975) populations, gives estimated coverages and lengths of the different confidence intervals. One interval is exact under the assumption of multivariate normal distributions; it gives longer intervals (hence better coverages) than the interval based on a popular variance estimator. An interval due to ROBERTS (1970) is much too long. Jackknifing gives robust intervals. Rules of thumb for practitioners are given.

Suggested Citation

  • J.P.C. Kleijnen & J. Kriens & H. Timmermans & H. van den Wildenberg, 1989. "Regression Sampling in Statistical Auditing: A Practical Survey and Evaluation," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 43(4), pages 193-209, December.
    • Handle: RePEc:bla:stanee:v:43:y:1989:i:4:p:193-209
    DOI: 10.1111/j.1467-9574.1989.tb01262.x
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    Cited by:

    1. Kleijnen, J.P.C., 2007. "Simulation Experiments in Practice : Statistical Design and Regression Analysis," Discussion Paper 2007-09, Tilburg University, Center for Economic Research.
    2. Kleijnen, J.P.C., 2006. "White Noise Assumptions Revisited : Regression Models and Statistical Designs for Simulation Practice," Other publications TiSEM d8c37ad3-f9a5-4824-986d-2, Tilburg University, School of Economics and Management.

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