Using Wasserstein Generative Adversarial Networks for the Design of Monte Carlo Simulations

Using Wasserstein Generative Adversarial Networks for the Design of Monte Carlo Simulations

By
Susan Athey, Guido W. Imbens, Jonas Metzger, Evan Munro
Journal of Econometrics (forthcoming).
2020

Researchers often use artificial data to assess the performance of new econometric methods. In many cases the data generating processes used in these Monte Carlo studies do not resemble real data sets and instead reflect many arbitrary decisions made by the researchers. As a result potential users of the methods are rarely persuaded by these simulations that the new methods are as attractive as the simulations make them out to be. We discuss the use of Wasserstein Generative Adversarial Networks (WGANs) as a method for systematically generating artificial data that mimic closely any given real data set without the researcher having many degrees of freedom. We apply the methods to compare in three different settings twelve different estimators for average treatment effects under unconfoundedness. We conclude in this example that (i) there is not one estimator that outperforms the others in all three settings, and (ii) that systematic simulation studies can be helpful for selecting among competing methods.