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On Monte Carlo estimation of relative power

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  • Paolo Paruolo

    ()
    (Department of Economics, University of Insubria, Italy)

Abstract

This paper derives standard errors for Monte Carlo (MC) estimators of (relative) power of tests when the critical values under the null have also been estimated. This situation is common, for example, in unit root and cointegration (CI) tests. The associated issue of MC design is discussed. The results are illustrated on likelihood-based tests for CI rank determination. Copyright Royal Economic Society 2002

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Bibliographic Info

Article provided by Royal Economic Society in its journal The Econometrics Journal.

Volume (Year): 5 (2002)
Issue (Month): 1 (June)
Pages: 65-75

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Handle: RePEc:ect:emjrnl:v:5:y:2002:i:1:p:65-75

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Cited by:
  1. Bertocco Giancarlo, 2006. "Are banks special? A note on Tobin’s theory of financial intermediaries," Economics and Quantitative Methods qf0605, Department of Economics, University of Insubria.
  2. Cavaliere Giuseppe & Fanelli Luca & Paruolo Paolo, 2001. "Determining the number of cointegrating relations under rank constraints," Economics and Quantitative Methods qf0109, Department of Economics, University of Insubria.
  3. Giuseppe Cavaliere & Luca Fanelli & Paolo Paruolo, 2009. "Tests for cointegration rank and choice of the alternative," Statistical Methods and Applications, Springer, vol. 18(2), pages 169-191, July.

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