ON THE CONSTRUCTION OF BOUNDS CONFIDENCE REGIONS
改进了Dufour(1990)构造精确有界置信区域的程序，去除了对干扰参数置信区域必须与感兴趣参数边际独立的要求，并用异方差模型和蒙特卡洛研究验证了该方法的有效性。
We modify the procedure for constructing exact bounds confidence regions introduced by Dufour (1990, Econometrica 58, 475–494) so as to drop the requirement that the confidence regions for the nuisance parameters are marginal with respect to the parameters of interest, i.e., that they are the same for all values of the parameters of interest. We illustrate this modified procedure with an application to a dependent variable heteroskedasticity model and, using a Monte Carlo study, compare the confidence regions constructed by this procedure with asymptotically justified regions.I thank the editor and three referees for useful comments. As always, I retain responsibility for any remaining errors.