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.

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Year of publication:	2000-09-11
Authors:	Díaz-Emparanza, Ignacio
Institutions:	EconWPA
Subject:	Number of replications \| Monte Carlo \| accuracy

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Extent:	application/pdf application/postscript
Series:	Econometrics.
Type of publication:	Book / Working Paper
Notes:	Type of Document - LaTex; prepared on PC-TEX; to print on PostScript; pages: 17 ; figures: none 17 pages
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005119142