Table 2: RMSE of the 1000-sample slope-parameter estimates under eigth underlying error-term
distributions and the normal and the proposed partially adaptive estimator alternatives.
|
Normal Estimators |
EGB2 |
Proposed Estimator | |||||
|
Underlying |
i.i.d. |
Heter. |
Autoc. |
i.i.d. |
i.i.d. |
Heter. |
Autoc. |
|
i.i.d. Var. Cont. Normal_______ |
0.284 |
— |
— |
0.126 |
0.115 |
— |
— |
|
i.i.d. Log- Normal_______ |
0.291 |
— |
— |
0.054 |
0.050 |
— |
— |
|
Het. Var. Cont. Normal_______ |
0.293 |
0.212 |
— |
0.125 |
0.112 |
0.107 |
— |
|
Het. Log- Normal_______ |
0.281 |
0.202 |
— |
0.117 |
0.104 |
0.052 |
— |
|
0.5 Aut. Var. Cont. Normal |
0.320 |
— |
0.260 |
0.149 |
0.141 |
— |
0.114 |
|
0.8 Aut. Var. Cont. Normal |
0.388 |
— |
0.208 |
0.195 |
0.188 |
— |
0.098 |
|
0.5 Aut. Log- Normal_______ |
0.334 |
— |
0.238 |
0.143 |
0.126 |
— |
0.053 |
|
0.8 Aut. Log- Normal_______ |
0.439 |
— |
0.219 |
0.299 |
0.260 |
— |
0.051 |
25
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