Is a small Monte Carlo analysis a good analysis? Checking the size, power and consistency of a simulation-based test
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.
|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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- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991.
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- Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
- 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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