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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 (Unpublished)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...
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) | |||||||||||||||||||||
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| 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: |
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| 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| Status: | Not Peer Reviewed | |||||||||||||||||||||
| Publication Status: | Unpublished | |||||||||||||||||||||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 |
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| RIOXX Funder/Project Grant: |
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