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Adjusted-range self-normalized confidence interval construction for censored dependent data

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  • Sun, Jiajing
  • Hong, Yongmiao
  • Linton, Oliver
  • Zhao, Xiaolu

Abstract

This paper proposes an adjusted-range based self-normalization (SN) method to construct confidence intervals for censored dependent data, which helps to circumvent the long-run variance estimation and tuning parameter selection problems. Simulation studies confirm the validity of this new approach.

Suggested Citation

  • Sun, Jiajing & Hong, Yongmiao & Linton, Oliver & Zhao, Xiaolu, 2022. "Adjusted-range self-normalized confidence interval construction for censored dependent data," Economics Letters, Elsevier, vol. 220(C).
    • Handle: RePEc:eee:ecolet:v:220:y:2022:i:c:s0165176522003470
    DOI: 10.1016/j.econlet.2022.110873
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    References listed on IDEAS

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