Table 1: Performance
of factor estimators from 1000 simulations. Trace statistics for various time
lengths and sample sizes.
|
T=3 |
T=5 |
T=7 |
T=10 |
T=15 |
||||||
TRDFM |
|
TRDFM |
|
TRDFM |
|
TRDFM |
|
TRDFM |
|
||
n
= 10 |
P
= 5 |
0.77 |
1.00 |
0.80 |
1.02 |
0.83 |
1.02 |
0.86 |
1.02 |
0.88 |
1.01 |
P
= 10 |
0.77 |
1.00 |
0.78 |
1.02 |
0.81 |
1.03 |
0.83 |
1.03 |
0.86 |
1.02 |
|
P
= 15 |
0.77 |
1.00 |
0.77 |
1.02 |
0.78 |
1.03 |
0.81 |
1.03 |
0.84 |
1.02 |
|
n
= 50 |
P
= 5 |
0.85 |
1.01 |
0.87 |
1.02 |
0.90 |
1.02 |
0.92 |
1.02 |
0.93 |
1.01 |
P
= 10 |
0.85 |
1.01 |
0.86 |
1.02 |
0.87 |
1.03 |
0.90 |
1.03 |
0.92 |
1.02 |
|
P
= 15 |
0.85 |
1.01 |
0.85 |
1.02 |
0.86 |
1.03 |
0.88 |
1.03 |
0.91 |
1.02 |
|
n
= 100 |
P
= 5 |
0.86 |
1.01 |
0.89 |
1.02 |
0.91 |
1.02 |
0.93 |
1.02 |
0.95 |
1.01 |
P
= 10 |
0.86 |
1.01 |
0.86 |
1.02 |
0.89 |
1.03 |
0.92 |
1.03 |
0.94 |
1.02 |
|
P
= 15 |
0.87 |
1.01 |
0.86 |
1.02 |
0.88 |
1.03 |
0.90 |
1.03 |
0.93 |
1.03 |
|
n
= 200 |
P
= 5 |
0.88 |
1.01 |
0.90 |
1.02 |
0.92 |
1.02 |
0.94 |
1.02 |
0.96 |
1.02 |
P
= 10 |
0.87 |
1.01 |
0.89 |
1.02 |
0.91 |
1.03 |
0.93 |
1.03 |
0.95 |
1.02 |
|
P
= 15 |
0.89 |
1.01 |
0.88 |
1.02 |
0.89 |
1.03 |
0.92 |
1.04 |
0.93 |
1.03 |
|
n
= 300 |
P
= 5 |
0.86 |
1.01 |
0.91 |
1.02 |
0.93 |
1.03 |
0.95 |
1.05 |
0.96 |
1.03 |
P
= 10 |
0.87 |
1.01 |
0.90 |
1.02 |
0.91 |
1.03 |
0.94 |
1.03 |
0.97 |
1.07 |
|
P
= 15 |
0.90 |
1.01 |
0.89 |
1.02 |
0.91 |
1.03 |
0.93 |
1.04 |
0.96 |
1.09 |