Table 1.
Simulation Results
The column labeled “mean(std)” presents the mean and standard deviation of the 1000 estimates of the coefficients in the 1000 simulations. The column labeled “SE(std)” lists the mean and standard deviation of the 1000 estimates of standard errors defined in (2.9). CP stands for the coverage probability of the confidence interval in (2.10) at the significance level α = 0.05.
| mean(std) | SE(std) | mean(std) | SE(std) | CP | ||
|---|---|---|---|---|---|---|
| Case 1: | ρ = ρc = 0.95 | Z = Zc = 1.832 | ||||
|
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| ρ̂ | .950(.017) | .016(.007) | Ẑ | 1.853(.169) | .159(.042) | .954 |
| ρ̂c | .943(.018) | .017(.007) | Ẑc | 1.791(.162) | .157(.042) | .954 |
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| Case 2: | ρ = 0.95, ρc = 0.905 | Z = 1.832, Zc = 1.498 | ||||
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| ρ̂ | .950(.017) | .016(.007) | Ẑ | 1.853 (.169) | .159(.042) | .954 |
| ρ̂c | .899(.030) | .029(.011) | Ẑc | 1.491 (.158) | .155(.040) | .954 |
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| Case 3: | ρ = 0.5, ρc = 0.467 | Z = 0.549, Zc = 0.506 | ||||
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| ρ̂ | .497(.139) | .125(.041) | Ẑ | .563 (.187) | .169(.043) | .935 |
| ρ̂c | .442(.128) | .121(.036) | Ẑc | .486 (.161) | .153(.041) | .949 |
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| Case 4: | ρ = 0.75, ρc = 0.701 | Z = 0.973, Zc = 0.868 | ||||
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| ρ̂ | .747(0.084) | .074(.031) | Ẑ | .993(.191) | .169(.044) | .939 |
| ρ̂c | .678(0.091) | .082(.030) | Ẑc | .845(.172) | .154(.041) | .938 |