Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/51798 
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dc.contributor.authorHam, John C.en
dc.contributor.authorWoutersen, Tiemenen
dc.date.accessioned2011-10-11-
dc.date.accessioned2011-11-23T11:35:39Z-
dc.date.available2011-11-23T11:35:39Z-
dc.date.issued2011-
dc.identifier.piurn:nbn:de:101:1-201107042650en
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
dc.language.isoengen
dc.publisher|aInstitute for the Study of Labor (IZA) |cBonnen
dc.relation.ispartofseries|aIZA Discussion Papers |x5816en
dc.subject.jelC12en
dc.subject.jelC15en
dc.subject.ddc330en
dc.subject.keywordconfidence intervalsen
dc.subject.keywordsimulationen
dc.subject.keywordstructural modelsen
dc.subject.keywordpolicy effectsen
dc.titleCalculating confidence intervals for continuous and discontinuous functions of estimated parameters-
dc.typeWorking Paperen
dc.identifier.ppn669597325en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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