Experiment | OLSU | OLSRT | ROLS | LADRT | RR | RMLE | Correct value of r |
Panel 1. Mean of estimate | |||||||
Basic case | 0.0546 | 0.0496 | 0.0499 | 0.0504 | 0.0542 | 0.0511 | 0.0500 |
High r (0.10) | 0.1075 | 0.1004 | 0.1005 | 0.1011 | 0.1070 | 0.1026 | 0.1000 |
Low r (0.02) | 0.0232 | 0.0192 | 0.0196 | 0.0200 | 0.0228 | 0.0204 | 0.0200 |
High g (0.08) | 0.0516 | 0.0490 | 0.0496 | 0.0500 | 0.0515 | 0.0501 | 0.0500 |
Low g (0.02) | 0.0580 | 0.0499 | 0.0502 | 0.0507 | 0.0579 | 0.0516 | 0.0500 |
High q (0.60) | 0.0534 | 0.0496 | 0.0468 | 0.0498 | 0.0531 | 0.0470 | 0.0500 |
Low q (0.20) | −0.0756 | 0.0495 | 0.0479 | 0.0518 | −0.2620 | 0.0630 | 0.0500 |
High RAND (20) | 0.0584 | 0.0493 | 0.0469 | 0.0483 | 0.0579 | 0.0509 | 0.0500 |
Low RAND (5) | 0.0454 | 0.0504 | 0.0499 | 0.0508 | 0.0450 | 0.0500 | 0.0500 |
Panel 2. Variation coefficient | |||||||
Basic case | 1.3989 | 0.1066 | 0.1654 | 0.1589 | 1.4051 | 0.1902 | |
High r (0.10) | 0.8607 | 0.0557 | 0.0787 | 0.0765 | 0.8618 | 0.1740 | |
Low r (0.02) | 2.9160 | 0.3164 | 0.4616 | 0.4523 | 2.9528 | 0.3542 | |
High g (0.08) | 0.6920 | 0.1487 | 0.2095 | 0.2089 | 0.6924 | 0.1579 | |
Low g (0.02) | 2.7673 | 0.0963 | 0.1507 | 0.1364 | 2.7676 | 0.2617 | |
High q (0.60) | 1.0571 | 0.0594 | 0.0791 | 0.0962 | 1.0592 | 0.0902 | |
Low q (0.20) | −26.2703 | 0.2713 | 0.5007 | 0.3451 | −11.6643 | 0.8726 | |
High RAND (20) | 3.7435 | 0.2167 | 0.3348 | 0.3363 | 3.7587 | 0.4250 | |
Low RAND (5) | 0.7174 | 0.0575 | 0.0889 | 0.0843 | 0.7211 | 0.0988 | |
Panel 3. Mean absolute error | |||||||
Basic case | 0.0602 | 0.0042 | 0.0064 | 0.0060 | 0.0600 | 0.0075 | |
High r (0.10) | 0.0724 | 0.0043 | 0.0061 | 0.0058 | 0.0722 | 0.0142 | |
Low r (0.02) | 0.0534 | 0.0050 | 0.0071 | 0.0067 | 0.0533 | 0.0057 | |
High g (0.08) | 0.0289 | 0.0059 | 0.0082 | 0.0077 | 0.0288 | 0.0062 | |
Low g (0.02) | 0.1207 | 0.0038 | 0.0059 | 0.0051 | 0.1206 | 0.0105 | |
High q (0.60) | 0.0449 | 0.0024 | 0.0039 | 0.0038 | 0.0449 | 0.0042 | |
Low q (0.20) | 0.4532 | 0.0104 | 0.0175 | 0.0129 | 0.5848 | 0.0281 | |
High RAND (20) | 0.1397 | 0.0086 | 0.0125 | 0.0122 | 0.1393 | 0.0153 | |
Low RAND (5) | 0.0262 | 0.0024 | 0.0035 | 0.0035 | 0.0262 | 0.0039 |