Applications of Monte Carlo Methods in Statistical Inference Using Regression Analysis

Author

Ji Young Huh, Claremont McKenna CollegeFollow

Graduation Year

2015

Date of Submission

4-2015

Document Type

Open Access Senior Thesis

Degree Name

Bachelor of Arts

Department

Economics

Second Department

Mathematics

Reader 1

Manfred Werner Keil

Reader 2

Mark Huber

Terms of Use & License Information

Terms of Use for work posted in Scholarship@Claremont.

Rights Information

© 2015 Ji Young Huh

Abstract

This paper studies the use of Monte Carlo simulation techniques in the field of econometrics, specifically statistical inference. First, I examine several estimators by deriving properties explicitly and generate their distributions through simulations. Here, simulations are used to illustrate and support the analytical results. Then, I look at test statistics where derivations are costly because of the sensitivity of their critical values to the data generating processes. Simulations here establish significance and necessity for drawing statistical inference. Overall, the paper examines when and how simulations are needed in studying econometric theories.

Recommended Citation

Huh, Ji Young, "Applications of Monte Carlo Methods in Statistical Inference Using Regression Analysis" (2015). CMC Senior Theses. 1160.
https://scholarship.claremont.edu/cmc_theses/1160