Figure 1.

The impacts of bias and empirical SE on root MSE and coverage of nominal 95% confidence intervals, compared for three methods: Method A is unbiased but imprecise; Method B is biased (independent of n _obs) and more precise; Method C is biased (with bias $\propto \sqrt{1/n_{\text{obs}}}$) and the same precision as method B. The comparison of root MSE and coverage depends on the choice of n _obs; the constant bias of method B dominates its increasingly poor MSE and coverage as n _obs increases [Colour figure can be viewed at wileyonlinelibrary.com]