Experiment

OLSU

OLSRT

ROLS

LADRT

RR

RMLE

Correct value of K

Panel 1. Mean of estimate

Basic case

0.6192

0.6218

0.6208

0.6210

0.6190

0.6203

0.6190

High r (0.10)

0.6365

0.6392

0.6381

0.6383

0.6363

0.6376

0.6364

Low r (0.02)

0.6080

0.6106

0.6095

0.6097

0.6078

0.6090

0.6078

High g (0.08)

0.6210

0.6217

0.6204

0.6210

0.6209

0.6214

0.6190

Low g (0.02)

0.6119

0.6219

0.6209

0.6209

0.6119

0.6159

0.6190

High q (0.60)

0.4295

0.4302

0.4331

0.4303

0.4293

0.4290

0.4286

Low q (0.20)

0.8023

0.8101

0.8053

0.8130

0.8012

0.8046

0.8095

High RAND (20)

0.5940

0.6187

0.6188

0.6228

0.5938

0.6013

0.6190

Low RAND (5)

0.6138

0.6182

0.6186

0.6176

0.6135

0.6150

0.6190

Panel 2. Variation coefficient

Basic case

0.0841

0.0257

0.0265

0.0315

0.0840

0.0651

High r (0.10)

0.0841

0.0257

0.0265

0.0315

0.0840

0.0656

Low r (0.02)

0.0841

0.0257

0.0265

0.0315

0.0840

0.0647

High g (0.08)

0.0698

0.0266

0.0278

0.0316

0.0697

0.0605

Low g (0.02)

0.1225

0.0253

0.0259

0.0312

0.1224

0.0828

High q (0.60)

0.1138

0.0159

0.0154

0.0236

0.1137

0.0800

Low q (0.20)

0.0994

0.0508

0.0533

0.0565

0.0991

0.0862

High RAND (20)

0.1753

0.0506

0.0522

0.0566

0.1752

0.1323

Low RAND (5)

0.0362

0.0135

0.0144

0.0162

0.0362

0.0280

Panel 3. Mean absolute error

Basic case

0.0409

0.0130

0.0150

0.0173

0.0237

0.0312

High r (0.10)

0.0420

0.0133

0.0150

0.0173

0.0237

0.0314

Low r (0.02)

0.0401

0.0127

0.0150

0.0173

0.0237

0.0310

High g (0.08)

0.0344

0.0132

0.0165

0.0184

0.0279

0.0315

Low g (0.02)

0.0595

0.0128

0.0142

0.0166

0.0218

0.0386

High q (0.60)

0.0390

0.0055

0.0083

0.0101

0.0169

0.0275

Low q (0.20)

0.0617

0.0333

0.0386

0.0389

0.0474

0.0537

High RAND (20)

0.0884

0.0258

0.0297

0.0304

0.0488

0.0671

Low RAND (5)

0.0182

0.0067

0.0080

0.0095

0.0106

0.0142