Journal of the American Statistical Association · 1972 · 37 citations · 0 references
Social SciencesBusiness EconomicsEconomicsEconometricsMicroeconomicsStatisticsEstimation TheoryInferential StatisticsMicroeconometricsMonte Carlo MethodsMonte Carlo SimulationStatistical InferenceAntithetic VariatesFinite Sample EstimationMonte Carlo EstimationMonte Carlo Parameter EstimationMonte Carlo SamplingSmall-sample Properties
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.