Experiment

OLSU

OLSRT

ROLS

LADRT

RR

RMLE

Correct value of q

Panel 1. Mean of estimate

Basic case

0.3979

0.3970

0.3982

0.3982

0.3981

0.3989

0.4000

High r (0.10)

0.3979

0.3970

0.3982

0.3982

0.3981

0.3989

0.4000

Low r (0.02)

0.3979

0.3970

0.3982

0.3982

0.3981

0.3989

0.4000

High g (0.08)

0.3972

0.3970

0.3985

0.3981

0.3974

0.3976

0.4000

Low g (0.02)

0.3995

0.3970

0.3981

0.3983

0.3995

0.4034

0.4000

High q (0.60)

0.5983

0.5981

0.5935

0.5981

0.5984

0.5978

0.6000

Low q (0.20)

0.2032

0.1994

0.2044

0.1969

0.2040

0.2054

0.2000

High RAND (20)

0.4111

0.4002

0.3993

0.3956

0.4112

0.4180

0.4000

Low RAND (5)

0.4031

0.4010

0.4005

0.4018

0.4032

0.4042

0.4000

Panel 2. Variation coefficient

Basic case

0.0749

0.0441

0.0470

0.0551

0.0747

0.1008

High r (0.10)

0.0749

0.0441

0.0470

0.0551

0.0747

0.1016

Low r (0.02)

0.0749

0.0441

0.0470

0.0551

0.0747

0.1003

High g (0.08)

0.0877

0.0484

0.0522

0.0581

0.0876

0.1000

Low g (0.02)

0.0688

0.0422

0.0446

0.0529

0.0687

0.1227

High q (0.60)

0.0349

0.0135

0.0137

0.0206

0.0349

0.0577

Low q (0.20)

0.3014

0.2197

0.2278

0.2501

0.2990

0.3417

High RAND (20)

0.1398

0.0854

0.0915

0.0972

0.1396

0.1900

Low RAND (5)

0.0323

0.0232

0.0259

0.0284

0.0322

0.0426

Panel 3. Mean absolute error

Basic case

0.0237

0.0143

0.0150

0.0173

0.0237

0.0312

High r (0.10)

0.0237

0.0143

0.0150

0.0173

0.0237

0.0314

Low r (0.02)

0.0237

0.0143

0.0150

0.0173

0.0237

0.0310

High g (0.08)

0.0279

0.0154

0.0165

0.0184

0.0279

0.0315

Low g (0.02)

0.0218

0.0137

0.0142

0.0166

0.0218

0.0386

High q (0.60)

0.0169

0.0067

0.0083

0.0101

0.0169

0.0275

Low q (0.20)

0.0476

0.0354

0.0386

0.0389

0.0474

0.0537

High RAND (20)

0.0489

0.0283

0.0297

0.0304

0.0488

0.0671

Low RAND (5)

0.0106

0.0074

0.0080

0.0095

0.0106

0.0142