Fixed Width Interval Estimation in Linear Regression

摘要

We discuss fixed-width interval estimation for the slope parameter in a simple linear regression when the X sub i are also normally distributed. A two-stage procedure that combines prediction with estimation is described. In addition, we discuss two sequential procedures. The confidence intervals obtained are used to construct tests with level and power at least independent of the values of the other parameters. We also consider a sequential procedure based on the distribution of the sample correlation coefficient; the resulting test attains the specified level and power asymptotically.