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Mostly harmless simulations? On the internal validity of empirical Monte Carlo studies

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  • Arun Advani

    ()
    (Institute for Fiscal Studies)

  • Tymon Sloczynski

Abstract

In this paper we evaluate the premise from the recent literature on Monte Carlo studies that an empirically motivated simulation exercise is informative about the actual ranking of various estimators when applied to a particular problem. We consider two alternative designs and provide an empirical test for both of them. We conclude that a necessary condition for the simulations to be informative about the true ranking is that the treatment effect in simulations must be equal to the (unknown) true effect. This severely limits the usefulness of such procedures, since were the effect known, the procedure would not be necessary.

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Bibliographic Info

Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP64/13.

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Date of creation: Dec 2013
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Handle: RePEc:ifs:cemmap:64/13

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Cited by:
  1. Tymon Sloczynski, 2012. "The Oaxaca-Blinder unexplained component as a treatment effects estimator," Working Papers 61, Department of Applied Econometrics, Warsaw School of Economics.

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