Comparing confidence intervals for Goodman and Kruskal's gamma coefficient

This study was motivated by the question which type of confidence interval (CI) one should use to summarize sample variance of Goodman and Kruskal's coefficient gamma. In a Monte-Carlo study, we investigated the coverage and computation time of the Goodman-Kruskal CI, the Cliff-consistent CI, the profile likelihood CI, and the score CI for Goodman and Kruskal's gamma, under several conditions. The choice for Goodman and Kruskal's gamma was based on results of Woods [Consistent small-sample variances for six gamma-family measures of ordinal association. Multivar Behav Res. 2009;44:525-551], who found relatively poor coverage for gamma for very small samples compared to other ordinal association measures. The profile likelihood CI and the score CI had the best coverage, close to the nominal value, but those CIs could often not be computed for sparse tables. The coverage of the Goodman-Kruskal CI and the Cliff-consistent CI was often poor. Computation time was fast to reasonably fast for all types of CI.