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Mostly harmless simulations? On the internal validity of empirical Monte Carlo studies

Authors: Arun Advani and Tymon Słoczyński
Date: 29 December 2013
Type: cemmap Working Paper, CWP64/13
DOI: 10.1920/wp.cem.2013.6413

Abstract

In this paper we evaluate the premise from the recent literature on Monte Carlo studies that an empirically motivated simulation exercise is informative about the actual ranking of various estimators when applied to a particular problem. We consider two alternative designs and provide an empirical test for both of them. We conclude that a necessary condition for the simulations to be informative about the true ranking is that the treatment effect in simulations must be equal to the (unknown) true effect. This severely limits the usefulness of such procedures, since were the effect known, the procedure would not be necessary.

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Arun Advani, Toru Kitagawa and Tymon Słoczyński September 2018, Mostly harmless simulations? On the internal validity of empirical Monte Carlo studies, cemmap Working Paper, CWP56/18, The IFS

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