Table 5: Estimated MSE values of the OLSE, RRE, MRRE, LE, and MLE when n = 100.

ρ = 0.85
k = 0.01k = 0.05k = 0.1
 = 0.01 = 0.1 = 1 = 0.01 = 0.1 = 1 = 0.01 = 0.1 = 1

OLS0.005780.547220.572550.005780.5472230.572550.0057840.5472230.572553
RRE1.77E − 050.001760.167861.77E − 050.0016790.169081.66E − 050.0017890.174567
MRRE1.63E − 050.00170.070397.42E − 060.0002540.071318.04E − 060.0008480.066346
ρ = 0.9
OLS9.198878.50348.500419.198878.50348.500419.1988738.50348.500411
RRE3.68E − 050.00340.340133.36E − 050.003490.341983.31E − 050.0033990.326526
MRRE2.76E − 052.55E − 032.55E − 012.52E − 052.62E − 032.56E − 012.48E − 052.55E − 032.45E − 01
ρ = 0.99
OLS1.80265171.595169.8911.80265171.595169.8911.802645171.595169.8914
RRE0.001880.1993418.42940.000820.0812947.804110.0004760.0467414.726424
MRRE0.001170.1235911.42620.000510.0504024.838550.0002950.0289792.930383

Sigmaρ = 0.85
d = 0.01d = 0.05d = 0.1
0.010.110.010.110.010.11

OLSE0.005780.547220.572550.005780.5472230.572550.0057840.5472230.572553
LE2.34E − 051.50E − 031.43E − 012.21E − 051.49E − 031.57E − 012.25E − 051.62E − 031.46E − 01
MLE1.45E − 059.32E − 048.88E − 021.37E − 059.25E − 049.75E − 021.40E − 051.01E − 039.07E − 02
ρ = 0.9
OLSE9.198878.50348.500419.198878.50348.500419.1988738.50348.500411
LE3.53E − 052.46E − 032.45E − 013.46E − 052.55E − 032.40E − 013.16E − 052.52E − 032.55E − 01
MLE2.19E − 051.53E − 031.47E − 012.15E − 051.58E − 031.49E − 011.96E − 051.57E − 032.03E − 01
ρ = 0.99
OLSE1.80265171.595169.8911.80265171.595169.8911.802645171.595169.8914
LE3.31E − 052.23E − 032.08E − 014.99E − 054.34E − 033.90E − 017.44E − 056.66E − 037.00E − 01
MLE2.05E − 051.39E − 031.25E − 013.10E − 052.70E − 032.42E − 014.62E − 054.14E − 035.57E − 01