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dc.contributor.authorHam, John C.en_US
dc.contributor.authorWoutersen, Tiemenen_US
dc.date.accessioned2011-10-11en_US
dc.date.accessioned2011-11-23T11:35:39Z-
dc.date.available2011-11-23T11:35:39Z-
dc.date.issued2011en_US
dc.identifier.piurn:nbn:de:101:1-201107042650en_US
dc.identifier.urihttp://hdl.handle.net/10419/51798-
dc.description.abstractThe delta method is commonly used to calculate confidence intervals of functions of estimated parameters that are differentiable with non-zero, bounded derivatives. When the delta method is inappropriate, researchers usually first use a bootstrap procedure where they i) repeatedly take a draw from the asymptotic distribution of the parameter values and ii) calculate the function value for this draw. They then trim the bottom and top of the distribution of function values to obtain their confidence interval. This note first provides several examples where this procedure and/or delta method fail to provide an appropriate confidence interval. It next presents a method that is appropriate for constructing confidence intervals for functions that are discontinuous or are continuous but have zero or unbounded derivatives. In particular the coverage probabilities for our method converge uniformly to their nominal values, which is not necessarily true for the other methods discussed above.en_US
dc.language.isoengen_US
dc.publisherIZA Bonnen_US
dc.relation.ispartofseriesDiscussion paper series // Forschungsinstitut zur Zukunft der Arbeit 5816en_US
dc.subject.jelC12en_US
dc.subject.jelC15en_US
dc.subject.ddc330en_US
dc.subject.keywordconfidence intervalsen_US
dc.subject.keywordsimulationen_US
dc.subject.keywordstructural modelsen_US
dc.subject.keywordpolicy effectsen_US
dc.titleCalculating confidence intervals for continuous and discontinuous functions of estimated parametersen_US
dc.typeWorking Paperen_US
dc.identifier.ppn669597325en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:IZA Discussion Papers, Forschungsinstitut zur Zukunft der Arbeit (IZA)

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