| Bias | RMSE | |||||||||
| θ | Blocks | Log Blocks | Runs | Double-Thinning | Intervals | Blocks | Log Blocks | Runs | Double-Thinning | Intervals |
|
| Panel A: T = 500, q = 0.95 |
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| 0.17 | 28.8% | 14.5% | 14.8% | −7.9% | 75.4% | 9.5% | 9.1% | 8.5% | 17.5% | 18.3% |
| 0.33 | −6.8% | 8.3% | −8.7% | −2.3% | 34.3% | 7.1% | 10.6% | 9.1% | 15.8% | 16.9% |
| 0.42 | −16.5% | 6.2% | −5.1% | −3.0% | 26.2% | 9.9% | 13.2% | 8.8% | 15.2% | 18.6% |
| 0.57 | −26.9% | 6.8% | −9.6% | −12.6% | 20.2% | 16.8% | 17.4% | 10.7% | 15.0% | 20.7% |
| 0.67 | −32.2% | 5.2% | −11.9% | −14.5% | 16.7% | 22.3% | 18.8% | 11.0% | 14.2% | 20.9% |
| 0.83 | −40.5% | 4.0% | −15.8% | −22.2% | 12.7% | 34.2% | 21.8% | 15.6% | 20.9% | 20.5% |
| 1.00 | −46.9% | 2.1% | −18.5% | −29.0% | 10.7% | 47.1% | 22.1% | 19.7% | 29.9% | 20.5% |
| Panel B: T = 2000, q = 0.95 | ||||||||||
| 0.17 | 5.4% | 12.7% | −5.1% | 3.0% | 9.3% | 3.0% | 4.3% | 3.2% | 9.6% | 5.1% |
| 0.33 | −11.3% | 10.6% | −3.5% | 2.3% | 8.3% | 5.0% | 6.4% | 4.3% | 8.3% | 7.6% |
| 0.42 | −19.5% | 6.6% | −9.2% | −2.6% | 5.6% | 8.8% | 7.1% | 5.9% | 8.0% | 8.0% |
| 0.57 | −30.0% | 2.7% | −12.9% | −12.4% | 2.6% | 17.4% | 7.5% | 8.7% | 9.7% | 9.1% |
| 0.67 | −34.1% | 3.9% | −12.5% | −15.9% | 4.5% | 23.0% | 9.5% | 9.6% | 12.2% | 10.5% |
| 0.83 | −41.3% | 2.4% | −15.6% | −23.1% | 3.0% | 34.6% | 10.1% | 13.6% | 19.8% | 9.9% |
| 1.00 | −47.5% | 0.4% | −18.5% | −29.8% | 2.1% | 47.6% | 11.9% | 18.9% | 30.1% | 10.1% |
| Panel C: T = 2000, q = 0.98 | ||||||||||
| 0.17 | 23.3% | 14.1% | 9.7% | 11.3% | 41.8% | 6.7% | 6.4% | 6.2% | 16.9% | 11.0% |
| 0.33 | 5.2% | 9.9% | 7.3% | 10.4% | 20.7% | 6.9% | 8.4% | 7.8% | 13.7% | 13.0% |
| 0.42 | −2.9% | 5.0% | −0.5% | 1.3% | 15.3% | 6.6% | 8.7% | 8.0% | 11.0% | 12.9% |
| 0.57 | −10.7% | 2.7% | −3.7% | −5.5% | 13.5% | 9.2% | 9.8% | 7.6% | 9.9% | 15.6% |
| 0.67 | −14.0% | 3.0% | −3.9% | −8.4% | 11.3% | 11.3% | 9.9% | 7.3% | 11.2% | 16.4% |
| 0.83 | −18.9% | 2.1% | −5.2% | −12.4% | 7.7% | 16.7% | 9.6% | 7.6% | 12.4% | 16.0% |
| 1.00 | −23.4% | 1.2% | −7.5% | −18.2% | 7.5% | 23.9% | 9.4% | 8.6% | 18.9% | 16.4% |
| Panel D: T = 5000, q = 0.98 | ||||||||||
| 0.17 | 17.0% | 16.6% | 2.2% | 10.1% | 12.6% | 4.8% | 5.1% | 3.8% | 9.1% | 5.7% |
| 0.33 | 1.7% | 10.0% | 1.7% | 6.6% | 7.2% | 4.1% | 6.0% | 4.4% | 8.0% | 7.3% |
| 0.42 | −3.3% | 7.8% | −0.8% | 4.2% | 8.0% | 4.4% | 6.3% | 4.6% | 7.4% | 8.7% |
| 0.57 | −11.6% | 3.1% | −4.1% | −5.2% | 4.3% | 7.8% | 6.2% | 5.1% | 6.3% | 9.1% |
| 0.67 | −15.1% | 2.2% | −4.9% | −8.4% | 4.5% | 11.0% | 7.0% | 6.1% | 8.0% | 10.2% |
| 0.83 | −19.1% | 2.3% | −5.7% | −13.1% | 4.0% | 16.3% | 6.2% | 6.2% | 11.7% | 11.1% |
| 1.00 | −23.8% | 0.6% | −7.8% | −18.5% | 3.5% | 24.1% | 6.4% | 8.2% | 18.8% | 10.6% |