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Is a small Monte Carlo analysis a good analysis?

Checking the size, power and consistency of a simulation-based test

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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.

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Authors and Affiliations

  1. Departamento de Econometría y Estadística e Instituto de Economía Pública, Universidad del País Vasco, Euskal Herriko Unibertsitatea, Spain

    Ignacio Díaz-Emparanza

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  1. Ignacio Díaz-Emparanza
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Additional information

Financial support from research projects PB96-1469-C05-01, UPV-038.321-G55/98 and PI9970 is gratefully acknowledged.

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Díaz-Emparanza, I. Is a small Monte Carlo analysis a good analysis?. Statistical Papers 43, 567–577 (2002). https://doi.org/10.1007/s00362-002-0124-9

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  • DOI: https://doi.org/10.1007/s00362-002-0124-9

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