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Mostly harmless simulations? Using Monte Carlo studies for estimator selection
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Advani, Arun, Kitagawa, Toru and Słoczyński, Tymon (2019) Mostly harmless simulations? Using Monte Carlo studies for estimator selection. Journal of Applied Econometrics, 34 (6). pp. 893-910. doi:10.1002/jae.2724 ISSN 0883-7252.
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Official URL: https://doi.org/10.1002/jae.2724
Abstract
We consider two recent suggestions for how to perform an empirically motivated Monte Carlo study to help select a treatment effect estimator under unconfoundedness. We show theoretically that neither is likely to be informative except under restrictive conditions that are unlikely to be satisfied in many contexts. To test empirical relevance, we also apply the approaches to a real‐world setting where estimator performance is known. Both approaches are worse than random at selecting estimators which minimise absolute bias. They are better when selecting estimators that minimise mean squared error. However, using a simple bootstrap is at least as good and often better. For now researchers would be best advised to use a range of estimators and compare estimates for robustness.
| Item Type: | Journal Article | ||||||||
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| Divisions: | Faculty of Social Sciences > Economics | ||||||||
| Journal or Publication Title: | Journal of Applied Econometrics | ||||||||
| Publisher: | Wiley-Blackwell Publishing, Inc | ||||||||
| ISSN: | 0883-7252 | ||||||||
| Official Date: | September 2019 | ||||||||
| Dates: |
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| Volume: | 34 | ||||||||
| Number: | 6 | ||||||||
| Page Range: | pp. 893-910 | ||||||||
| DOI: | 10.1002/jae.2724 | ||||||||
| Status: | Peer Reviewed | ||||||||
| Publication Status: | Published | ||||||||
| Reuse Statement (publisher, data, author rights): | This is the peer reviewed version of the following article: Advani, A, Kitagawa, T, Sloczynski, T. Mostly harmless simulations? Using monte carlo studies for estimator selection. J Appl Econ. 2019. https://doi.org/10.1002/jae.2724, which has been published in final form at https://doi.org/10.1002/jae.2724. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. | ||||||||
| Access rights to Published version: | Restricted or Subscription Access | ||||||||
| Date of first compliant deposit: | 5 April 2019 | ||||||||
| Date of first compliant Open Access: | 25 June 2021 | ||||||||
| Related URLs: |
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