Post-simulation Analysis of Monte Carlo Experiments: Interpreting Pesaran's (1974) Study of Non-nested Hypothesis Test Statistics

DOI10.2307/2297612MaRDI QIDQ3740106zbMATH OpenOpenAlexFDO

Authors Neil R. Ericsson

Publication date 1986

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL http://www.federalreserve.gov/pubs/ifdp/1986/276/ifdp276.pdf

zbMATH Keywords

finite sample propertiesMonte Carlo studiestesting non-nested hypothesespost-simulation analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

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