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Providing Intuition to the Fieller Method with Two Geometric Representations using STATA and Eviews

The 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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Paper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 992.

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Length: 22 pages
Date of creation: 2007
Date of revision:
Handle: RePEc:mlb:wpaper:992
Contact details of provider: Postal: Department of Economics, The University of Melbourne, 4th Floor, FBE Building, Level 4, 111 Barry Street. Victoria, 3010, Australia
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  1. Joseph G. Hirschberg & Jenny N. Lye, 2004. "Inferences for the Extremum of Quadratic Regression Models," Department of Economics - Working Papers Series 906, The University of Melbourne.
  2. Jean-Marie Dufour, 1997. "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica, Econometric Society, vol. 65(6), pages 1365-1388, November.
  3. Gruen, David & Pagan, Adrian & Thompson, Christopher, 1999. "The Phillips curve in Australia," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 223-258, October.
  4. Anders Alexandersson, 2004. "Graphing confidence ellipses: An update of ellip for Stata 8," Stata Journal, StataCorp LP, vol. 4(3), pages 242-256, September.
  5. J. Hirschberg & J. Lye & D.J. Slottje, 2005. "Alernative Forms for Restricted Regressions," Department of Economics - Working Papers Series 954, The University of Melbourne.
  6. Valentine, T. J., 1979. "Hypothesis tests and confidence intervals for mean elasticities calculated from linear regression equations," Economics Letters, Elsevier, vol. 4(4), pages 363-367.
  7. Jean-Thomas Bernard & Nadhem Idoudi & Lynda Khalaf & Clément Yélou, 2007. "Finite sample inference methods for dynamic energy demand models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(7), pages 1211-1226.
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