σ2=  0.8 ρ n OLS HK HKB KI1 KI2   15 6.5313 4.2852 2.4810 2.0218 2.2595 0.6 25 1.9391 1.7640 1.2815 1.2552 1.3536   80 0.3799 0.3751 0.3504 0.3513 0.3578   200 0.1412 0.1406 0.1370 0.1372 0.1382

σ2=  0.8 ρ n OLS HK HKB KI1 KI2   15 27.1747 12.4955 6.2813 3.0539 3.2615 0.9 25 7.7115 5.5316 2.8908 2.2409 2.4154   80 1.5642 1.4634 1.0591 1.0417 1.1066   200 0.5785 0.5647 0.4834 0.4884 0.5090

σ2=  0.8 ρ n OLS HK HKB KI1 KI2   15 46.8813 20.0779 9.6678 3.5778 3.7064 0.94 25 13.3331 8.2681 4.1480 2.6650 2.7821   80 2.7026 2.4034 1.5277 1.4297 1.5126   200 1.0056 0.9615 0.7435 0.7435 0.7848

σ2=  0.8 ρ n OLS HK HKB KI1 KI2   15 152.1745 53.8533 28.0708 5.4931 5.5123 0.98 25 42.4797 19.5072 10.2101 3.8327 3.8562   80 8.6617 6.2425 3.2356 2.3936 2.4296   200 3.2246 2.7729 1.6640 1.5011 1.5472

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 5.1583 3.5488 2.0914 1.7885 2.0080 0.6 25 1.5015 1.3916 1.0632 1.0496 1.1219   80 0.3079 0.3048 0.2883 0.2887 0.2929   200 0.1129 0.1125 0.1102 0.1103 0.1110

σ2=  0.9 ρ n OLS HK HKB KI1 KI2   15 21.5841 10.4375 5.2976 2.8178 3.0594 0.9 25 6.0798 4.5944 2.4765 2.0355 2.2102   80 1.2484 1.1829 0.8924 0.8857 0.9376   200 0.4509 0.4427 0.3907 0.3949 0.4091

σ2=  0.9 ρ n OLS HK HKB KI1 KI2   15 36.5916 15.8731 8.0752 3.3272 3.4763 0.94 25 10.5081 6.9777 3.5163 2.4477 2.5894   80 2.1424 1.9455 1.2911 1.2373 1.3161   200 0.7777 0.7505 0.6040 0.6075 0.6392

σ2=  0.9 ρ n OLS HK HKB KI1 KI2   15 121.9148 44.9126 23.0672 5.0840 5.1219 0.98 25 34.4905 16.7414 8.4861 3.5828 3.6167   80 6.9268 5.2124 2.7602 2.1686 2.2207   200 2.5272 2.2342 1.3946 1.2931 1.3449

σ2= 0.95 ρ n OLS HK HKB KI1 KI2   15 4.8443 3.3635 1.9976 1.7168 1.9370 0.6 25 1.3692 1.2774 0.9866 0.9745 1.0372   80 0.2727 0.2702 0.2568 0.2572 0.2608   200 0.1016 0.1014 0.0997 0.0998 0.1003

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 19.1460 9.6208 4.7720 2.6614 2.9010 0.9 25 5.4160 4.2002 2.2972 1.9271 2.0963   80 1.1199 1.0674 0.8218 0.8220 0.8708   200 0.4083 0.4015 0.3579 0.3621 0.3745

σ2 = 0.95 ρ n OLS HK HKB KI1 KI2   15 32.4676 14.0097 7.1604 3.1164 3.2841 0.94 25 9.5260 6.4257 3.2854 2.3640 2.5141   80 1.9154 1.7555 1.1939 1.1542 1.2284   200 0.6905 0.6690 0.5486 0.5540 0.5824

σ2= 0.95 ρ n OLS HK HKB KI1 KI2   15 106.6568 38.7463 20.5424 4.8432 4.8767 0.98 25 30.9499 15.4485 7.8942 3.4899 3.5305   80 6.1767 4.7439 2.5543 2.0581 2.1169   200 2.2575 2.0205 1.2931 1.2172 1.2730

σ2=  0.99 ρ n OLS HK HKB KI1 KI2   15 4.2840 3.1024 1.8590 1.6290 1.8248 0.6 25 1.2607 1.1830 0.9290 0.9234 0.9818   80 0.2531 0.2510 0.2396 0.2400 0.2431   200 0.0927 0.0924 0.0909 0.0909 0.0914

σ2=  0.99 ρ n OLS HK HKB KI1 KI2   15 17.4206 8.8620 4.4007 2.5474 2.7966 0.9 25 5.0021 3.9189 2.1558 1.8498 2.0298   80 1.0351 0.9899 0.7723 0.7738 0.8181   200 0.3760 0.3700 0.3317 0.3356 0.3469

σ2=  0.99 ρ n OLS HK HKB KI1 KI2   15 29.8622 13.6424 6.7319 3.1074 3.2918 0.94 25 8.6360 5.9772 3.0399 2.2691 2.4267   80 1.7623 1.6261 1.1247 1.0960 1.1692   200 0.6306 0.6130 0.5108 0.5165 0.5419

σ2=  0.99 ρ n OLS HK HKB KI1 KI2   15 100.3572 36.5617 19.2035 4.6061 4.6499 0.98 25 28.1448 14.4566 7.2695 3.3876 3.4369   80 5.6109 4.3818 2.3663 1.9535 2.0138   200 2.1242 1.9125 1.2351 1.1687 1.2243

Table 2: Estimated MSE when p = 10.