Page 151 - Contributed Paper Session (CPS) - Volume 5

CPS1159 Philip Hans Franses et al.
Table 3: Simulation experiments for the case where = 20 and = 0.5. The
2

cells are average estimates of the parameters and associated standard errors
(SE) across 1000 replications.

̂ (SE) ̂ (SE)

0 -2 0.5 0.5 -0.008 (0.269) -1.843 (0.168)
0 -2 0.5 2.0 -0.006 (0.317) -1.581 (0.206)
0 -2 2.0 0.5 -0.011 (0.295) -1.912 (0.207)
0 -2 2.0 2.0 -0.008 (0.350) -1.631 (0.248)

0 0 0.5 0.5 -0.010 (0.210) -0.014 (0.133)
0 0 0.5 2.0 -0.009 (0.216) 0.029 (0.126)
0 0 2.0 0.5 -0.012 (0.256) -0.083 (0.179)
0 0 2.0 2.0 -0.012 (0.246) -0.022 (0.171)

0 2 0.5 0.5 -0.011 (0.191) 1.814 (0.128)
0 2 0.5 2.0 -0.013 (0.199) 1.639 (0.137)
0 2 2.0 0.5 -0.014 (0.223) 1.745 (0.159)
0 2 2.0 2.0 -0.015 (0.227) 1.588 (0.164)

5 -2 0.5 0.5 4.992 (0.269) -1.843 (0.178)
5 -2 0.5 2.0 4.994 (0.318) -1.581 (0.198)
5 -2 2.0 0.5 4.989 (0.299) -1.912 (0.210)
5 -2 2.0 2.0 4.991 (0.358) -1.631 (0.250)

5 0 0.5 0.5 4.990 (0.261) -0.014 (0.132)
5 0 0.5 2.0 4.991 (0.213) 0.029 (0.122)
5 0 2.0 0.5 4.988 (0.250) -0.083 (0.171)
5 0 2.0 2.0 4.988 (0.253) -0.022 (0.167)

5 2 0.5 0.5 4.989 (0.199) 1.814 (0.127)
5 2 0.5 2.0 4.987 (0.208) 1.639 (0.135)
5 2 2.0 0.5 4.986 (0.226) 1.745 (0.166)
5 2 2.0 2.0 4.985 (0.221) 1.588 (0.156)
2
Table 4: Simulation experiments for the case where = 20 and = 2.0. The

cells are average estimates of the parameters and associated standard errors
(SE) across 1000 replications.
̂ (SE) ̂ (SE)

0 -2 0.5 0.5 -0.015 (0.464) -1.788 (0.260)
0 -2 0.5 2.0 -0.013 (0.494) -1.502 (0.288)
0 -2 2.0 0.5 -0.017 (0.463) -1.857 (0.291)
0 -2 2.0 2.0 -0.015 (0.516) -1.552 (0.326)

0 0 0.5 0.5 -0.016 (0.407) 0.040 (0.244)
0 0 0.5 2.0 -0.016 (0.407) 0.108 (0.208)
0 0 2.0 0.5 -0.019 (0.426) -0.029 (0.273)
0 0 2.0 2.0 -0.019 (0.427) 0.058 (0.254)

0 2 0.5 0.5 -0.018 (0.382) 1.868 (0.224)
0 2 0.5 2.0 -0.020 (0.375) 1.718 (0.208)
0 2 2.0 0.5 -0.021 (0.406) 1.800 (0.257)
0 2 2.0 2.0 -0.022 (0.395) 1.667 (0.232)

5 -2 0.5 0.5 4.985 (0.462) -1.788 (0.265)
5 -2 0.5 2.0 4.988 (0.490) -1.502 (0.287)
5 -2 2.0 0.5 4.983 (0.468) -1.857 (0.287)
5 -2 2.0 2.0 4.985 (0.500) -1.552 (0.319)

5 0 0.5 0.5 4.984 (0.411) 0.040 (0.234)
5 0 0.5 2.0 4.984 (0.408) 0.108 (0.226)
5 0 2.0 0.5 4.981 (0.448) -0.029 (0.272)
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