| Abstract: | The author considers the problem of constructing confidence intervals for the median of a future observation at certain values of exogenous variables, following a normalizing transformation. He shows that when this transformation is estimated, the usual interval obtained through an inverse transformation needs to be corrected, even when the sample size is large. He then gives a simple analytical solution to this problem and provides simulation results confirming the good small‐sample properties of the corrected interval. He also presents two concrete illustrations. |
