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From |
Maarten Buis <maartenlbuis@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Bias: Monte Carlo |

Date |
Mon, 6 May 2013 10:25:25 +0200 |

On Mon, May 6, 2013 at 9:49 AM, John Antonakis wrote: > I am running some Monte Carlos where I am interested in observing the bias > in parameter estimates across manipulated conditions. By bias I mean the > absolute percentage difference of the simulated value from the true value. > > I was wondering whether there has been another written about how much bias > is "acceptable"--I know that this is like asking how long is a piece of > string and that there is no statistical fiat that can give a definitive > answer, because it also is a very field specific issue. It is probably not quite the answer you are looking for (and I think you are right by wondering whether such an answer can exist), but one thing you can do is take into account that a Monte Carlo experiment contains a random component, so if you repeat the experiment (with a different seed) you will get a slightly different estimate of your bias. The logic behind this variation between Monte Carlo experiments is pretty much the same as the logic behind statistical testing: so you can compute standard errors and confidence intervals. This is the idea behind: Ian R. White (2010) "simsum: Analyses of simulation studies including Monte Carlo error" The Stata Journal, 10(3):369--385 and <http://www.maartenbuis.nl/software/simpplot.html>. It is not very useful as a definition of what amount of bias is "acceptable" as you can arbitrarily make the bounds around your estimate of the bias smaller by increasing the number of iterations, but at least this type of bounds prevents you from over-interpretting the result from your simulation, as happend here: <http://stats.stackexchange.com/questions/55676#55676>. Hope this helps, Maarten --------------------------------- Maarten L. Buis WZB Reichpietschufer 50 10785 Berlin Germany http://www.maartenbuis.nl --------------------------------- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Bias: Monte Carlo***From:*Stas Kolenikov <skolenik@gmail.com>

**References**:**st: Bias: Monte Carlo***From:*John Antonakis <John.Antonakis@unil.ch>

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