σ2=0.8 ρ n OLS HK HKB KI1 KI2   15 8.61 4.20 2.74 1.76 1.94 0.6 25 1.064 0.975 0.783 0.769 0.811   80 0.2517 0.2479 0.2347 0.2350 0.2386   200 0.0937 0.0932 0.0913 0.0914 0.0920

σ2=0.8 ρ n OLS HK HKB KI1 KI2   15 35.88 12.72 7.70 2.46 2.63 0.9 25 4.188 3.058 1.830 1.466 1.582   80 1.012 0.937 0.718 0.709 0.751   200 0.3793 0.3688 0.3251 0.3287 0.3408

σ2=0.9 ρ n OLS HK HKB KI1 KI2   15 65.873 21.228 14.814 3.0203 3.1189 0.94 25 7.4153 4.6495 2.6701 1.7583 1.8506   80 1.7701 1.5495 1.0626 0.9965 1.0601   200 0.6507 0.6189 0.5043 0.5066 0.5330

σ2=0.8 ρ n OLS HK HKB KI1 KI2   15 218.62 63.98 46.10 4.37 4.39 0.98 25 23.351 10.661 6.373 2.388 2.410   80 5.451 3.788 2.167 1.5789 1.6223   200 2.102 1.777 1.154 1.039 1.087

σ2=0.9 ρ n OLS HK HKB KI1 KI2   15 6.8406 3.5983 2.3898 1.5982 1.7575 0.6 25 0.8384 0.7839 0.6537 0.6477 0.6789   80 0.1962 0.1938 0.1851 0.1854 0.1878   200 0.0741 0.0738 0.0726 0.0727 0.0731

σ2=0.9 ρ n OLS HK HKB KI1 KI2   15 27.622 10.530 6.556 2.364 2.526 0.9 25 3.340 2.566 1.583 1.342 1.456   80 0.7973 0.7512 0.6008 0.5988 0.6307   200 0.2998 0.2934 0.2654 0.2686 0.2771

σ2=0.9 ρ n OLS HK HKB KI1 KI2   15 47.988 16.688 10.105 2.680 2.805 0.94 25 5.773 3.915 2.268 1.645 1.755   80 1.3607 1.2231 0.8749 0.8433 0.8977   200 0.5184 0.4978 0.4182 0.4223 0.4427

σ2=0.9 ρ n OLS HK HKB KI1 KI2   15 158.08 49.069 31.913 4.064 4.102 0.98 25 18.470 8.957 5.164 2.215 2.250   80 4.364 3.193 1.864 1.453 1.507   200 1.6500 1.4402 0.9722 0.9059 0.9551

σ2=0.95 ρ n OLS HK HKB KI1 KI2   15 6.440 3.459 2.228 1.539 1.690 0.6 25 0.7611 0.7140 0.6001 0.5955 0.6229   80 0.1765 0.1745 0.1676 0.1678 0.1698   200 0.0659 0.0657 0.0646 0.0647 0.0651

σ2=0.95 ρ n OLS HK HKB KI1 KI2   15 26.715 10.069 6.155 2.219 2.383 0.9 25 3.049 2.386 1.489 1.293 1.407   80 0.7101 0.6728 0.5464 0.5474 0.5761   200 0.2645 0.2594 0.2367 0.2395 0.2466

σ2=0.95 ρ n OLS HK HKB KI1 KI2   15 44.747 14.785 9.448 2.656 2.783 0.94 25 5.184 3.587 2.097 1.567 1.673   80 1.2181 1.1079 0.8093 0.7888 0.8403   200 0.4629 0.4463 0.3803 0.3841 0.4012

σ2=0.95 ρ n OLS HK HKB KI1 KI2   15 150.20 44.75 30.23 3.92 3.97 0.98 25 16.983 8.301 4.901 2.175 2.213   80 3.896 2.923 1.726 1.384 1.438   200 1.4606 1.2923 0.8920 0.8437 0.8918

σ2=  0.99 ρ n OLS HK HKB KI1 KI2   15 5.848 3.082 1.985 1.436 1.590 0.6 25 0.7038 0.6658 0.5655 0.5622 0.5860   80 0.1639 0.1622 0.1559 0.1562 0.1581   200 0.0620 0.0618 0.0609 0.0610 0.0613

σ2=  0.99 ρ n OLS HK HKB KI1 KI2   15 23.002 9.022 5.371 2.153 2.339 0.9 25 2.750 2.196 1.383 1.221 1.326   80 0.6726 0.6394 0.5243 0.5256 0.5521   200 0.2439 0.2395 0.2198 0.2225 0.2288

σ2=  0.99 ρ n OLS HK HKB KI1 KI2   15 38.996 13.866 8.865 2.532 2.675 0.94 25 4.918 3.444 2.021 1.536 1.648   80 1.1318 1.0341 0.7638 0.7490 0.7986   200 0.4228 0.4089 0.3521 0.3563 0.3718

σ2=  0.99 ρ n OLS HK HKB KI1 KI2   15 132.45 41.75 27.32 3.72 3.77 0.98 25 15.685 7.873 4.621 2.162 2.206   80 3.702 2.825 1.686 1.362 1.415   200 1.3698 1.2222 0.8535 0.8128 0.8583

Table 1: Estimated MSE when p = 7.