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Mostly Harmless Simulations? On the Internal Validity of Empirical Monte Carlo Studies

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  • Advani, Arun

    ()
    (Institute for Fiscal Studies, London)

  • Sloczynski, Tymon

    ()
    (Warsaw School of Economics)

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 Institute for the Study of Labor (IZA) in its series IZA Discussion Papers with number 7874.

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Length: 35 pages
Date of creation: Dec 2013
Date of revision:
Handle: RePEc:iza:izadps:dp7874

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Keywords: empirical Monte Carlo studies; programme evaluation; treatment effects;

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References

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  14. A. Smith, Jeffrey & E. Todd, Petra, 2005. "Does matching overcome LaLonde's critique of nonexperimental estimators?," Journal of Econometrics, Elsevier, vol. 125(1-2), pages 305-353.
  15. Brewer, Mike & Crossley, Thomas F. & Joyce, Robert, 2013. "Inference with Difference-in-Differences Revisited," IZA Discussion Papers 7742, Institute for the Study of Labor (IZA).
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  19. Markus Frölich, 2004. "Finite-Sample Properties of Propensity-Score Matching and Weighting Estimators," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 77-90, February.
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Cited by:
  1. Słoczyński, Tymon, 2013. "The Oaxaca–Blinder Unexplained Component as a Treatment Effects Estimator," MPRA Paper 50660, University Library of Munich, Germany.
  2. Huber, Martin & Mellace, Giovanni & Lechner, Michael, 2014. "The finite sample performance of estimators for mediation analysis under sequential conditional independence," Economics Working Paper Series 1415, University of St. Gallen, School of Economics and Political Science.

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