Is a small Monte Carlo analysis a good analysis? Checking the size, power and consistency of a simulation-based test

Ignacio Díaz-Emparanza

Econometrics from University Library of Munich, Germany

Abstract: 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.

Keywords: Number of replications; Monte Carlo; accuracy. (search for similar items in EconPapers)
JEL-codes: C15 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2000-09-11
New Economics Papers: this item is included in nep-ecm and nep-evo
Note: Type of Document - LaTex; prepared on PC-TEX; to print on PostScript; pages: 17 ; figures: none
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0004005

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