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Mostly Harmless Simulations? Using Monte Carlo Studies for Estimator Selection

Arun Advani, Toru Kitagawa and Tymon Słoczyński
Additional contact information
Toru Kitagawa: University College London and cemmap.

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics

Abstract: We consider two recent suggestions for how to perform an empirically motivated Monte Carlo study to help select a treatment effect estimator under unconfoundedness. We show theoretically that neither is likely to be informative except under restrictive conditions that are unlikely to be satisfied in many contexts. To test empirical relevance, we also apply the approaches to a real-world setting where estimator performance is known. Both approaches are worse than random at selecting estimators which minimise absolute bias. They are better when selecting estimators that minimise mean squared error. However, using a simple bootstrap is at least as good and often better. For now researchers would be best advised to use a range of estimators and compare estimates for robustness.

Keywords: Fertility; Discrimination; Experimental economics (search for similar items in EconPapers)
JEL-codes: C93 J16 J71 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-exp and nep-lma
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Citations: View citations in EconPapers (4) Track citations by RSS feed

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https://warwick.ac.uk/fac/soc/economics/research/w ... werp_1192_advani.pdf

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Journal Article: Mostly harmless simulations? Using Monte Carlo studies for estimator selection (2019) Downloads
Working Paper: Mostly Harmless Simulations? Using Monte Carlo Studies for Estimator Selection (2019) Downloads
Working Paper: Mostly Harmless Simulations? Using Monte Carlo Studies for Estimator Selection (2019) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:wrk:warwec:1192

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