SIMULATION TESTING OF UNBIASEDNESS OF VARIANCE ESTIMATORS

In this article I address the evaluation of estimators of variance for parameter estimates. Given an unbiased estimator X of a parameter the ta, and an estimator V of the variance of X, how does one test (via si mulation) whether V is an unbiased estimator of the variance of X? The derivation of the test statistic illustrates the need for care in sub stituting consistent estimators for unknown parameters.