On Monte Carlo Estimation of Relative Power

Paolo Paruolo

Economics and Quantitative Methods from Department of Economics, University of Insubria

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 e.g. in unit root and cointegration tests. The associated issue of MC design is discussed. The results are illustrated on likelihood based tests for cointegration rank determination.

Keywords: Monte Carlo; design of experiments; (local) power; cointegration; likelihood ratio; unit roots (search for similar items in EconPapers)
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Journal Article: On Monte Carlo estimation of relative power (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:ins:quaeco:qf0112

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