Simulating the Small-Sample Properties of Econometric Estimators

作者：William M. Mikhail · 发表于：Journal of the American Statistical Association · 年份：1972 · DOI：10.1080/01621459.1972.10481262 · 被引用次数：32 · 研究领域：Monetary Policy and Economic Impact

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.