Regression-Based Methods for Using Control and Antithetic Variates in Monte Carlo Experiments

Russell Davidson and James MacKinnon

No 781, Working Paper from Economics Department, Queen's University

Abstract: Methods based on linear regression provide a very easy way to use the information in control and antithetic variates to improve the efficiency with which certain features of the distributions of estimators and test statistics are estimated in Monte Carlo experiments. We propose a new technique that allows these methods to be used when the quantities of interest are quantiles. Ways to obtain approximately optimal control variates in many cases of interest are also proposed. These methods seem to work well in practice, and can greatly reduce the number of replications required to obtain a given level of accuracy.

Date: 1990-05
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http://qed.econ.queensu.ca/working_papers/papers/qed_wp_781.pdf First version 1990 (application/pdf)

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