Is a small Monte Carlo analysis a good analysis? Checking the size, power and consistency of a simulation-based test
AbstractIn this paper we study the relationship between the number of replications and the accuracy of the estimated quantiles of a distribution obtained by simulation. A method for testing hypotheses on the quantiles of a theoretical distribution using the simulated distribution is proposed, as well as a method to check the hypothesis of consistency of a test.
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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 0004005.
Length: 17 pages
Date of creation: 11 Sep 2000
Date of revision:
Note: Type of Document - LaTex; prepared on PC-TEX; to print on PostScript; pages: 17 ; figures: none
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Number of replications; Monte Carlo; accuracy.;
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2001-02-14 (All new papers)
- NEP-ECM-2001-02-14 (Econometrics)
- NEP-EVO-2001-02-14 (Evolutionary Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"Seasonal, Integration And Cointegration,"
6-88-2, Pennsylvania State - Department of Economics.
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