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Confidence Intervals for Ratios: Econometric Examples with Stata "Abstract: 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, we demonstrate that a few extra steps in the examination of the estimate of the ratio may provide a confidence interval with superior coverage."

Author

Listed:
  • Jenny Lye

    (Department of Economics, University of Melbourne)

  • Joe Hirschberg

    (Department of Economics, University of Melbourne)

Abstract

No abstract is available for this item.

Suggested Citation

  • Jenny Lye & Joe Hirschberg, 2018. "Confidence Intervals for Ratios: Econometric Examples with Stata "Abstract: Ratios of parameter estimates are often used in econometric applications. However, the test of these ratios when estima," Department of Economics - Working Papers Series 2037, The University of Melbourne.
    • Handle: RePEc:mlb:wpaper:2037
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    File URL: http://fbe.unimelb.edu.au/__data/assets/pdf_file/0005/2704649/2037_Joe-Hirschberg_Fieller-Examples2.pdf
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    More about this item

    Keywords

    Turning points; Quadratic specification; Interaction terms; Long-run elasticities; Willingness-to-pay; NAIRU; 2SLS & ILS; Stata;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • A22 - General Economics and Teaching - - Economic Education and Teaching of Economics - - - Undergraduate
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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