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Is a small Monte Carlo analysis a good analysis? Checking the size, power and consistency of a simulation-based test

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Author Info

  • Ignacio Díaz-Emparanza

    (Universidad del País Vasco)

Abstract

In 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 Info

Paper provided by EconWPA in its series Econometrics with number 0004005.

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Length: 17 pages
Date of creation: 11 Sep 2000
Date of revision:
Handle: RePEc:wpa:wuwpem:0004005

Note: Type of Document - LaTex; prepared on PC-TEX; to print on PostScript; pages: 17 ; figures: none
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Web page: http://128.118.178.162

Related research

Keywords: Number of replications; Monte Carlo; accuracy.;

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  1. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
  2. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  3. Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
  4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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