Page 152 - Contributed Paper Session (CPS) - Volume 5

CPS1159 Philip Hans Franses et al.
5 0 2.0 2.0 4.982 (0.420) 0.058 (0.243)

5 2 0.5 0.5 4.982 (0.393) 1.868 (0.225)
5 2 0.5 2.0 4.980 (0.378) 1.718 (0.210)
5 2 2.0 0.5 4.979 (0.385) 1.800 (0.250)
5 2 2.0 2.0 4.978 (0.387) 1.667 (0.229)

Table 5: Simulation experiments for the case where = 100 and = 0.5.
2

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

0 -2 0.5 0.5 0.000 (0.093) -1.878 (0.080)
0 -2 0.5 2.0 -0.000 (0.120) -1.589 (0.095)
0 -2 2.0 0.5 -0.000 (0.114) -1.866 (0.110)
0 -2 2.0 2.0 -0.001 (0.132) -1.580 (0.115)

0 0 0.5 0.5 0.001 (0.088) -0.036 (0.075)
0 0 0.5 2.0 0.001 (0.086) -0.048 (0.068)
0 0 2.0 0.5 0.001 (0.109) -0.024 (0.106)
0 0 2.0 2.0 0.001 (0.105) -0.040 (0.097)

0 2 0.5 0.5 0.002 (0.110) 1.806 (0.094)
0 2 0.5 2.0 0.003 (0.138) 1.493 (0.117)
0 2 2.0 0.5 0.002 (0.128) 1.818 (0.118)
0 2 2.0 2.0 0.002 (0.149) 1.501 (0.140)

5 -2 0.5 0.5 5.000 (0.095) -1.878 (0.082)
5 -2 0.5 2.0 5.000 (0.120) -1.589 (0.097)
5 -2 2.0 0.5 5.000 (0.114) -1.866 (0.111)
5 -2 2.0 2.0 5.000 (0.139) -1.580 (0.112)

5 0 0.5 0.5 5.001 (0.086) -0.036 (0.077)
5 0 0.5 2.0 5.001 (0.088) -0.048 (0.070)
5 0 2.0 0.5 5.001 (0.107) -0.024 (0.105)
5 0 2.0 2.0 5.001 (0.107) -0.040 (0.094)

5 2 0.5 0.5 5.002 (0.108) 1.806 (0.093)
5 2 0.5 2.0 5.003 (0.138) 1.493 (0.120)
5 2 2.0 0.5 5.002 (0.127) 1.818 (0.116)
5 2 2.0 2.0 5.002 (0.149) 1.501 (0.143)

Table 6: Simulation experiments for the case where = 100 and = 2.0.
2

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

̂ (SE) ̂ (SE)

0 -2 0.5 0.5 0.002 (0.161) -1.926 (0.129)
0 -2 0.5 2.0 0.001 (0.176) -1.645 (0.131)
0 -2 2.0 0.5 0.001 (0.174) -1.914 (0.146)
0 -2 2.0 2.0 0.001 (0.183) -1.637 (0.139)

0 0 0.5 0.5 0.003 (0.158) -0.084 (0.131)
0 0 0.5 2.0 0.003 (0.156) -0.104 (0.119)
0 0 2.0 0.5 0.002 (0.177) -0.072 (0.146)
0 0 2.0 2.0 0.002 (0.174) -0.096 (0.137)

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