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The Confidence Interval of Cross-Sectional Distribution of Durations

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  • Dixon, Huw David

    (Cardiff Business School)

  • Tian, Maoshan

    (Cardiff Business School)

Abstract

Cross-Sectional Distribution of Durations (CSD). In this paper, we apply Fieller's method and Delta method to derive confidence interval of CSD with Tian and Huw s variance formulae. (CSD) is a new estimators derived by Dixon (2012). It can be applied in general Taylor model (GT E) by Dixon and Bihan (2012a) and hospital waiting times by Dixon and Siciliani (2009). We use Monte Carlo simulations to evaluate the empirical size of Fieller's method and delta method among different sample sizes. The empirical results show that Fieller's method is superior to delta method in terms of estimating the confidence interval of CSD even both methods are available. Finally, we use both methods to two data sets: the UK CPI micro-price data and waiting time data from UK hospitals. All the estimators are located in their confidence intervals.Length: 27 pages

Suggested Citation

  • Dixon, Huw David & Tian, Maoshan, 2022. "The Confidence Interval of Cross-Sectional Distribution of Durations," Cardiff Economics Working Papers E2022/15, Cardiff University, Cardiff Business School, Economics Section.
    • Handle: RePEc:cdf:wpaper:2022/15
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    References listed on IDEAS

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    1. Huw Dixon & Hervé Le Bihan, 2012. "Generalised Taylor and Generalised Calvo Price and Wage Setting: Micro‐evidence with Macro Implications," Economic Journal, Royal Economic Society, vol. 122(560), pages 532-554, May.
    2. Huw David Dixon & Kun Tian, 2017. "What We can Learn About the Behaviour of Firms from the Average Monthly Frequency of Price-Changes: An Application to the UK CPI Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(6), pages 907-932, December.
    3. Huw Dixon & Luigi Siciliani, 2009. "Waiting Time Targets in Healthcare Markets: How Long Are We Waiting?," Discussion Papers 09/05, Department of Economics, University of York.
    4. Daniel Polsky & Henry A. Glick & Richard Willke & Kevin Schulman, 1997. "Confidence Intervals for Cost–Effectiveness Ratios: A Comparison of Four Methods," Health Economics, John Wiley & Sons, Ltd., vol. 6(3), pages 243-252, May.
    5. Dixon, Huw & Siciliani, Luigi, 2009. "Waiting-time targets in the healthcare sector: How long are we waiting?," Journal of Health Economics, Elsevier, vol. 28(6), pages 1081-1098, December.
    6. Dixon Huw, 2012. "A Unified Framework for Using Micro-Data to Compare Dynamic Time-Dependent Price-Setting Models," The B.E. Journal of Macroeconomics, De Gruyter, vol. 12(1), pages 1-45, July.
    7. Huw Dixon & Kul Luintel & Kun Tian, 2020. "The Impact of the 2008 Crisis on UK Prices: What We Can Learn from the CPI Microdata," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1322-1341, December.
    8. Maoshan Tian & Huw Dixon, 2022. "The variances of non-parametric estimates of the cross-sectional distribution of durations," Econometric Reviews, Taylor & Francis Journals, vol. 41(10), pages 1243-1264, November.
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    Cited by:

    1. Maoshan Tian & Huw Dixon, 2022. "The variances of non-parametric estimates of the cross-sectional distribution of durations," Econometric Reviews, Taylor & Francis Journals, vol. 41(10), pages 1243-1264, November.

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    More about this item

    Keywords

    Fieller's Method; Delta Method; Confidence Interval;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General

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