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.
Authors
Research Fellow University of Warwick
Arun is a Research Fellow at IFS, an Associate Professor of Economics at the University of Warwick and a Commissioner at the Wealth Tax Commission.
Tymon Słoczyński
Working Paper details
- DOI
- 10.1920/wp.cem.2013.6413
- Publisher
- IFS
Suggested citation
Advani, A and Słoczyński, T. (2013). Mostly harmless simulations? On the internal validity of empirical Monte Carlo studies. London: IFS. Available at: https://ifs.org.uk/publications/mostly-harmless-simulations-internal-validity-empirical-monte-carlo-studies-1 (accessed: 4 May 2024).
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