Regression Sampling in Statistical Auditing: A Practical Survey and Evaluation |
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| Authors: | JPC Kleijnen J Kriens H Timmermans H van den Wildenberg |
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| Institution: | Department of Information Systems and Auditing Catholic University Brabant P.O. Box 90153 NL–5000 LE Tilburg, The Netherlands;Department of Econometrics Catholic University Brabant P.O. Box 90153 NL–5000 LE Tilburg, The Netherlands |
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| Abstract: | Several confidence intervals for the regression estimator are surveyed. A Monte Carlo experiment, based on the NETER and LOEBBECKE (1975) populations, gives estimated coverages and lengths of the different confidence intervals. One interval is exact under the assumption of multivariate normal distributions; it gives longer intervals (hence better coverages) than the interval based on a popular variance estimator. An interval due to ROBERTS (1970) is much too long. Jackknifing gives robust intervals. Rules of thumb for practitioners are given. |
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| Keywords: | control variates confidence interval length coverage robustness Neter–Loebbecke populations Roberts procedure jackknifing |
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