Table 5.

Simulation Results when $R=X+b\sqrt{6}{\epsilon }_{\ast }/(10\pi )$.

		n = 500				n = 1000
		Est	SD	SE	CP	Est	SD	SE	CP
	Ideal	−1.009	0.073	0.070	0.940	−1.003	0.049	0.049	0.940
	Naive	−0.878	0.068	0.064	0.514	−0.873	0.046	0.045	0.210
b = 0.0	SNC	−1.016	0.137	0.125	0.934	−1.008	0.091	0.088	0.932
	INC	−1.007	0.118	0.105	0.925	−1.003	0.079	0.074	0.928
b = 0.5	SNC	−1.095	0.145	0.127	0.882	−1.085	0.096	0.088	0.843
	INC	−1.084	0.125	0.107	0.868	−1.078	0.083	0.075	0.821
b = 1.0	SNC	−1.179	0.155	0.129	0.722	−1.166	0.101	0.089	0.565
	INC	−1.164	0.134	0.109	0.699	−1.158	0.088	0.077	0.468
b = 2.0	SNC	−1.362	0.185	0.136	0.246	−1.342	0.117	0.092	0.052
	INC	−1.339	0.159	0.117	0.179	−1.329	0.102	0.081	0.024

SNC, simple nonparametric correction; INC, GMM nonparametric correction. SD, empirical standard deviation across simulated data sets; SE, average of estimated standard errors; CP, coverage probability of the 95% Wald confidence interval.