Simulating the Small-Sample Properties of Econometric Estimators
- 1 September 1972
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 67 (339) , 620
- https://doi.org/10.2307/2284452
Abstract
This note examines the use of indirect Monte Carlo methods in investigating the finite-sample properties of econometric estimators. It is found that the two-antithetic-variate method is far better than straight-forward simulation in estimating the biases of the estimators, but that a method combining the control-variate and the two-antithetic-variate techniques is better for estimating the dispersions. Comparisons with Nagar's approximations to the biases and dispersions are presented.Keywords
This publication has 0 references indexed in Scilit: