Confidence interval construction for the difference of two binomial parameters

The two-sample problem for interval estimation of the difference of two binomial p:s is considered. A new interval, the (AN) Andersson-Nerman, is presented and compared with the standard Wald interval and another good alternative, the Agresti interval. The AN interval turns out not to be without defects, but in its construction, where we seek to compensate for the correlation between the point estimator and its standard error, we will get an insight as to why the Wald interval does not work well. This seems not to have been previously taken into account for the two-sample case.