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|
|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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- 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.
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"Seasonal, Integration And Cointegration,"
6-88-2, Pennsylvania State - Department of Economics.
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- 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 1057-1072, June.
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