Table 2.
No NL |
NL |
|||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Quantile | Variable | Method | Bias | MSE | Cov. | ECL | Power | Bias | MSE | Cov. | ECL | Power |
0.25 | Variable 1 | Portnoy | −0.01 | 0.04 | 0.97 | 0.86 | 1.00 | 0.16 | 0.75 | 0.95 | 3.37 | 0.26 |
PH | 0.00 | 0.04 | 0.96 | 0.86 | 1.00 | −0.04 | 0.73 | 0.95 | 3.35 | 0.20 | ||
TW | −0.06 | 0.04 | 0.97 | 0.86 | 1.00 | −0.01 | 0.68 | 0.95 | 3.28 | 0.22 | ||
Variable 2 | Portnoy | −0.01 | 0.06 | 0.97 | 1.01 | 1.00 | −0.19 | 0.29 | 0.97 | 2.27 | 0.99 | |
PH | −0.02 | 0.06 | 0.97 | 1.01 | 1.00 | −0.24 | 0.33 | 0.96 | 2.29 | 0.99 | ||
TW | 0.06 | 0.06 | 0.97 | 1.02 | 1.00 | 0.02 | 0.25 | 0.97 | 2.21 | 0.98 | ||
Variable 3 | Portnoy | 0.00 | 0.06 | 0.97 | 1.04 | 0.98 | 0.10 | 0.27 | 0.96 | 2.24 | 0.53 | |
PH | 0.01 | 0.06 | 0.97 | 1.03 | 0.98 | 0.12 | 0.28 | 0.96 | 2.26 | 0.54 | ||
TW | −0.09 | 0.07 | 0.96 | 0.99 | 0.97 | −0.11 | 0.21 | 0.97 | 2.01 | 0.44 | ||
0.5 | Variable 1 | Portnoy | −0.01 | 0.03 | 0.96 | 0.73 | 1.00 | 0.11 | 0.56 | 0.95 | 2.93 | 0.32 |
PH | −0.01 | 0.03 | 0.96 | 0.74 | 1.00 | −0.07 | 0.56 | 0.95 | 2.96 | 0.23 | ||
TW | −0.01 | 0.03 | 0.97 | 0.74 | 1.00 | 0.03 | 0.56 | 0.95 | 2.98 | 0.28 | ||
Variable 2 | Portnoy | −0.01 | 0.05 | 0.96 | 0.85 | 1.00 | −0.12 | 0.17 | 0.95 | 1.66 | 1.00 | |
PH | −0.01 | 0.05 | 0.95 | 0.86 | 1.00 | −0.15 | 0.19 | 0.95 | 1.72 | 1.00 | ||
TW | 0.00 | 0.05 | 0.96 | 0.86 | 1.00 | −0.04 | 0.16 | 0.96 | 1.71 | 1.00 | ||
Variable 3 | Portnoy | 0.00 | 0.05 | 0.97 | 0.88 | 0.99 | 0.05 | 0.15 | 0.97 | 1.68 | 0.72 | |
PH | 0.00 | 0.05 | 0.97 | 0.89 | 1.00 | 0.06 | 0.16 | 0.97 | 1.74 | 0.70 | ||
TW | 0.00 | 0.05 | 0.97 | 0.89 | 1.00 | 0.02 | 0.15 | 0.97 | 1.71 | 0.69 |