In this paper, we provide a method for constructing confidence intervals for the variance that exhibit guaranteed coverage probability for any sample size, uniformly over a wide class of probability distributions. In contrast, standard methods achieve guaranteed coverage only in the limit for a...

Confidence intervals in time series regressions suffer from notorious coverage problems. This is especially true when the dependence in the data is noticeable and sample sizes are small to moderate, as is often the case in empirical studies. This paper proposes a method that combines...