On Monte Carlo estimation of relative power

Paolo Paruolo

Econometrics Journal, 2002, vol. 5, issue 1, 65-75

Abstract: This paper derives standard errors for Monte Carlo (MC) estimators of (relative) power of tests when the critical values under the null have also been estimated. This situation is common, for example, in unit root and cointegration (CI) tests. The associated issue of MC design is discussed. The results are illustrated on likelihood-based tests for CI rank determination. Copyright Royal Economic Society 2002

Date: 2002
References: Add references at CitEc
Citations: View citations in EconPapers (3)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: On Monte Carlo Estimation of Relative Power
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ect:emjrnl:v:5:y:2002:i:1:p:65-75

Ordering information: This journal article can be ordered from
http://www.ectj.org

Access Statistics for this article

Econometrics Journal is currently edited by Richard J. Smith, Oliver Linton, Pierre Perron, Jaap Abbring and Marius Ooms

More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().