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. Author manuscript; available in PMC: 2017 Nov 1.
Published in final edited form as: J Econom. 2016 Jun 15;195(1):154–168. doi: 10.1016/j.jeconom.2016.05.016

Table 5.

Simulation results for Example 4 with α = 5%, q = 5%, d0 = 10, Σ as given in Example 2, λ = 0.1, and Xis being generated from a standardized exponential distribution.

p n Test ES EP FDR TR FR
1000 100 MUR 0.055 0.938 0.296 0.792 0.009
LDPE 0.071 0.802 0.185 0.772 0.022
CPS 0.056 0.404 0.132 0.401 0.000
200 MUR 0.055 1.000 0.228 1.000 0.012
LDPE 0.064 1.000 0.152 1.000 0.013
CPS 0.052 0.943 0.070 0.947 0.000
500 MUR 0.053 1.000 0.190 1.000 0.017
LDPE 0.054 1.000 0.103 1.000 0.004
CPS 0.052 1.000 0.052 1.000 0.000
2000 100 MUR 0.053 0.891 0.290 0.725 0.009
LDPE 0.072 0.744 0.181 0.731 0.030
CPS 0.059 0.352 0.133 0.332 0.000
200 MUR 0.053 1.000 0.242 1.000 0.013
LDPE 0.059 0.977 0.153 0.973 0.018
CPS 0.054 0.853 0.069 0.911 0.000
500 MUR 0.054 1.000 0.134 1.000 0.015
LDPE 0.053 1.000 0.097 1.000 0.009
CPS 0.052 1.000 0.058 1.000 0.000