Is a small Monte Carlo analysis a good analysis? |
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| Authors: | Ignacio Díaz-Emparanza |
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| Institution: | (1) Departamento de Econometría y Estadística e Instituto de Economía Pública, Universidad del País Vasco, Euskal Herriko Unibertsitatea, ES |
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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.
Received: November 15, 1999; revised version: May 29, 2001 |
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