Table 1A. Monte Carlo simulation results
|
N =30,T |
= 300, γi |
= 1, ρdi |
=0, ρz |
=0, σ2di |
=1 | |
|
A) Regression I | ||||||
|
Mean |
SSD |
Min. |
Max. |
Skew. |
Kurt-3 | |
|
MG estimator | ||||||
|
ʌ |
1.4983 |
.0217 |
1.4243 |
1.5584 |
.0544 |
.0215 |
|
ʌ SEι(θ) |
.0083 |
.0011 |
.0056 |
.0116 |
.1819 |
-.2505 |
|
FE estimator | ||||||
|
ʌ |
1.4975 |
.0216 |
1.4244 |
1.5579 |
.0593 |
.0299 |
|
ʌ SEι(θ) |
.0092 |
.0002 |
.0087 |
.0096 |
-.1818 |
.0738 |
|
ʌ SE2(θ) |
.0169 |
.0003 |
.0161 |
.0179 |
.2264 |
.2835 |
|
ʌ SE3(θ) |
.0222 |
.0014 |
.0189 |
.0291 |
.7026 |
1.3561 |
|
POLS estimator | ||||||
|
ʌ |
1.4967 |
.0216 |
1.4232 |
1.5573 |
.0589 |
.0382 |
|
ʌ SE1(θ) |
.0092 |
.0002 |
.0087 |
.0096 |
-.1829 |
.0829 |
|
ʌ SE2(b) |
.0169 |
.0003 |
.0161 |
.0179 |
.2299 |
.3072 |
|
ʌ SE3(θ) |
.0221 |
.0015 |
.0180 |
.0277 |
.5705 |
.6412 |
|
B) Regression II | ||||||
|
Mean |
SSD |
Min. |
Max. |
Skew. |
Kurt-3 | |
|
MG_______________________________ | ||||||
|
ʌ |
1.0987 |
.0165 |
1.0503 |
1.1464 |
.2764 |
-.1859 |
|
ʌ SE1(b) |
.0100 |
.0013 |
.0063 |
.0137 |
.1158 |
-.0758 |
|
FE_________________________________________ | ||||||
|
ʌ |
1.0980 |
.0163 |
1.0517 |
1.1459 |
.2769 |
-.1551 |
|
ʌ SE1(b) |
.0097 |
.0001 |
.0094 |
.0101 |
.0156 |
-.0846 |
|
ʌ SE2(b) |
.0098 |
.0001 |
.0095 |
.0103 |
.2678 |
.1741 |
|
ʌ SE3(b) |
.0109 |
.0006 |
.0092 |
.0133 |
.2375 |
.3445 |
|
POLS_______________________________________ | ||||||
|
ʌ |
1.0977 |
.0163 |
1.0506 |
1.1453 |
.2678 |
-.1418 |
|
ʌ SEi(b) |
.0097 |
.0001 |
.0094 |
.0100 |
.0219 |
-.1046 |
|
ʌ SE2(b) |
.0098 |
.0001 |
.0095 |
.0103 |
.2678 |
.1635 |
|
ʌ SE3(b) |
.0109 |
.0006 |
.0093 |
.0131 |
.2703 |
.2165 |
Note: SE1 is based on the usual covariance matrix formulae for the MG, FE and
POLS estimators. SE2 is based on (10) and SE3 is based on (13).
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