σ2 = 0.2
ρ n OLS HK HKB LW MI1 MI3
  10 82.02 29.46 20.63 5.29 4.88 5.51
0.6 20 18.83 8.98 6.24 5.25 3.11 3.02
  70 3.90 2.97 2.04 3.35 1.19 2.55
  150 1.694 1.490 1.141 1.640 1.032 1.621
σ2 = 0.6
ρ n OLS HK HKB LW MI1 MI3
  10 6.62 3.42 2.34 4.36 1.37 2.05
0.6 20 1.511 1.281 0.972 1.467 0.856 1.432
  70 0.3151 0.3067 0.2838 0.3147 0.3049 0.3150
  150 0.139508 0.137920 0.133043 0.139475 0.138628 0.139504
σ2 = 1
ρ n OLS HK HKB LW MI1 MI3
  10 3.180 1.955 1.405 2.696 0.954 1.947
0.6 20 0.7502 0.6861 0.5708 0.7447 0.5921 0.7449
  70 0.156666 0.154544 0.148265 0.156620 0.155305 0.156660
  150 0.0673158 0.0669337 0.0657255 0.0673120 0.0672098 0.0673156
σ2 = 0.2
ρ n OLS HK HKB LW MI1 MI3
  10 158.36 50.68 36.84 5.29 4.82 5.62
0.8 20 36.70 15.34 10.51 6.65 3.13 3.32
  70 7.45 4.74 2.97 5.88 0.83 2.38
  150 3.30 2.58 1.69 3.13 0.82 2.79
σ2 = 0.6
ρ n OLS HK HKB LW MI1 MI3
  10 17.52 7.29 4.83 8.17 1.51 1.69
0.8 20 3.946 2.743 1.765 3.633 0.760 2.796
  70 0.8338 0.7736 0.6250 0.8308 0.6485 0.8312
  150 0.36411 0.35237 0.31523 0.36386 0.34354 0.36402
σ2 = 1
ρ n OLS HK HKB LW MI1 MI3
  10 6.322 3.264 2.112 4.994 0.798 2.590
0.8 20 1.458 1.234 0.890 1.441 0.735 1.422
  70 0.29872 0.29058 0.26414 0.29858 0.28630 0.29868
  150 0.132156 0.130628 0.125055 0.132144 0.131098 0.132154
σ2 = 0.2
ρ n OLS HK HKB LW MI1 MI3
  10 544.70 174.57 120.38 4.55 5.11 5.89
0.94 20 127.49 45.91 31.86 6.79 3.81 4.87
  70 26.29 11.60 7.61 13.54 0.94 0.52
  150 11.63 6.23 3.92 9.73 0.35 2.85
σ2 = 0.6
ρ n OLS HK HKB LW MI1 MI3
  10 63.54 21.17 15.03 16.40 1.81 1.27
0.94 20 14.42 6.94 4.49 11.28 0.44 2.62
  70 2.974 2.287 1.461 2.936 0.618 2.833
  150 1.276 1.126 0.814 1.273 0.686 1.271
σ2 = 1
ρ n OLS HK HKB LW MI1 MI3
  10 21.86 8.55 5.74 13.70 0.66 2.32
0.94 20 5.167 3.281 2.005 4.967 0.464 3.960
  70 1.054 0.946 0.703 1.052 0.645 1.052
  150 0.4675 0.4460 0.3767 0.4674 0.4111 0.4675
σ2 = 0.2
ρ n OLS HK HKB LW MI1 MI3
  10 3712 1132 782 2.46 5.49 5.99
0.99 20 832 288 194 2.97 4.80 5.88
  70 177 65 44 21 2.23 2.56
  150 78 29 20 32 0.74 0.20
σ2 = 0.6
ρ n OLS HK HKB LW MI1 MI3
  10 424 129 91 27 2.80 3.42
0.99 20 94 33 22 34 0.88 0.32
  70 19.27 8.68 5.56 17.58 0.10 4.97
  150 8.59 4.88 2.97 8.44 0.18 6.82
σ2 = 1
ρ n OLS HK HKB LW MI1 MI3
  10 143 45 32 40 1.15 0.67
0.99 20 34 13 9 27 0.16 2.32
  70 7.085 4.219 2.544 6.996 0.236 6.174
  150 3.1065 2.3059 1.4289 3.0989 0.4758 3.0726
Table 1: Estimated MSE when p = 6.