Abstract
There is a wide variety of statistical problems (e.g., unit root and cointegration tests) where hypothesis testing involves the use of simulated rather than theoretical critical values. We argue that, in practice, the number of replications used to simulate critical values is often insufficient to provide the degree of precision that is implied. In particular, the number of replications needed is greatest for values in the tails of the distribution. We provide recommendations for approximating the number of replications needed to achieve a desired degree of precision.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Communications in Statistics - Simulation and Computation
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
