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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. Working Paper. Coventry: University of Warwick. Department of Economics. Warwick economics research papers series (WERPS) (1192). (Unpublished)

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Official URL: https://warwick.ac.uk/fac/soc/economics/research/w...

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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: Working or Discussion Paper (Working Paper)
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Social Sciences > Economics
Library of Congress Subject Headings (LCSH): Monte Carlo method
Series Name: Warwick economics research papers series (WERPS)
Publisher: University of Warwick. Department of Economics
Place of Publication: Coventry
ISSN: 0083-7350
Official Date: April 2019
Dates:
DateEvent
April 2019Published
Number: 1192
Number of Pages: 33
Institution: University of Warwick
Status: Not Peer Reviewed
Publication Status: Unpublished
Access rights to Published version: Open Access
Description:

This paper also appears as CAGE Working paper 411

RIOXX Funder/Project Grant:
Project/Grant IDRIOXX Funder NameFunder ID
RC12+09Cerge Ei FoundationUNSPECIFIED
RES-576-25-0042[ESRC] Economic and Social Research Councilhttp://dx.doi.org/10.13039/501100000269
RES-589-28-0001[ESRC] Economic and Social Research Councilhttp://dx.doi.org/10.13039/501100000269
EPP-715940European Research Councilhttp://viaf.org/viaf/130022607
UNSPECIFIEDFundacja na rzecz Nauki Polskiejhttp://dx.doi.org/10.13039/501100001870
UNSPECIFIEDTheodore Jane Norman FoundationUNSPECIFIED

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