Computing numerical distribution functions in econometrics. High Performance Computing Systems and Applications

Abstract: Many test statistics in econometrics have asymptotic distributions that cannot be evaluated analytically. In order to conduct asymptotic inference, it is therefore necessary to resort to simulation. The techniques that have commonly been used yield only a small number of critical values, which can be seriously inaccurate because of both experimental and systematic errors. In contrast, the techniques discussed in this paper yield enough information to plot the distributions of the test statistics or to calculate P values, and they avoid both types of inaccuracy