Table 3: Estimated MSE values of the OLSE, RRE, MRRE, LE, and MLE when n = 50.

Estimatorsρ = 0.85
k = 0.01k = 0.05k = 0.1
 = 0.01 = 0.1 = 1 = 0.01 = 0.1 = 1 = 0.01 = 0.1 = 1

OLS3.46E − 050.0038740.3336393.46E − 050.0038740.3336393.46E − 050.0038740.333639
RRE2.52E − 050.0031850.3119383.14E − 050.0031450.3196393.08E − 050.0029590.297564
MRRE1.57E − 051.98E − 031.87E − 011.95E − 051.95E − 031.99E − 011.91E − 051.84E − 032.37E − 01
ρ = 0.9
OLS7.76E − 050.0074380.7199227.76E − 050.0074380.7199227.76E − 050.0074380.719922
RRE6.79E − 050.0065050.6295496.26E − 050.0063210.6296995.89E − 050.006080.579048
MRRE4.22E − 054.04E − 033.78E − 013.89E − 053.93E − 033.91E − 013.66E − 053.78E − 034.61E − 01
ρ = 0.99
OLS0.0040430.40883640.891730.0040430.40883640.891730.0040430.40883640.89173
RRE0.0025340.2682224.797050.0010990.10938310.500590.000640.0628916.359499
MRRE0.0015710.16629615.374170.0006810.0678176.5103640.0003970.0389923.942889

Estimatorsρ = 0.85
d = 0.01d = 0.05d = 0.1
0.010.110.010.110.010.11

OLS3.46E − 050.0038740.3336393.46E − 050.0038740.3336393.46E − 050.0038740.333639
LE3.15E − 052.02E − 031.92E − 012.97E − 052.00E − 032.11E − 013.03E − 052.18E − 031.96E − 01
MLE1.96E − 051.25E − 031.20E − 011.85E − 051.25E − 031.31E − 011.88E − 051.35E − 031.22E − 01
ρ = 0.9
OLS7.76E − 050.0074380.7199227.76E − 050.0074380.7199227.76E − 050.0074380.719922
LE4.75E − 053.31E − 033.30E − 014.66E − 053.43E − 033.23E − 014.25E − 053.39E − 033.43E − 01
MLE2.95E − 052.05E − 031.98E − 012.89E − 052.13E − 032.01E − 012.64E − 052.11E − 032.73E − 01
ρ = 0.99
OLS0.0040430.40883640.891730.0040430.40883640.891730.0040430.40883640.89173
LE4.45E − 053.00E − 032.79E − 016.72E − 055.84E − 035.25E − 011.00E − 048.96E − 039.42E − 01
MLE2.76E − 051.86E − 031.68E − 014.17E − 053.63E − 033.26E − 016.22E − 055.57E − 037.50E − 01