σ2 = 0.2 ρ n OLS HK HKB LW MI1 MI3   10 315 89 52 8.93 7.09 7.66 0.6 20 30 14 8.92 7.57 4.49 4.37   70 5.57 4.40 2.78 4.83 1.42 3.31   150 2.40 2.15 1.57 2.33 1.25 2.26 σ2 = 0.6 ρ n OLS HK HKB LW MI1 MI3   10 40 12 7.86 9.23 3.48 2.71 0.6 20 3.37 2.689 1.78 3.15 1.15 2.685   70 0.61899 0.600 0.531 0.617 0.566 0.61831   150 0.268472 0.265264 0.251895 0.268371 0.264139 0.268450 σ2 = 1 ρ n OLS HK HKB LW MI1 MI3   10 13.59 5.05 3.23 6.60 1.87 2.50 0.6 20 1.2299 1.115 0.867 1.218 0.812 1.2102   70 0.22178 0.21931 0.20908 0.22172 0.21881 0.22176   150 0.094576 0.094157 0.092320 0.094571 0.094359 0.094575 σ2 = 0.2 ρ n OLS HK HKB LW MI1 MI3   10 658 165 111 11.41 6.90 7.71 0.8 20 59 25 15 10 4.50 4.74   70 10.68 7.12 4.04 8.57 0.99 2.87   150 4.677 3.783 2.327 4.458 0.869 3.785 σ2 = 0.6 ρ n OLS HK HKB LW MI1 MI3   10 68.49 20.91 12.41 14.66 3.26 2.49 0.8 20 6.66 4.56 2.63 6.04 0.84 3.85   70 1.198 1.121 0.868 1.194 0.819 1.193   150 0.5215 0.5077 0.4467 0.5212 0.4768 0.5214 σ2 = 1 ρ n OLS HK HKB LW MI1 MI3   10 28.39 8.88 5.12 11.50 1.64 2.73 0.8 20 2.369 1.982 1.290 2.336 0.827 2.248   70 0.4292 0.4190 0.3737 0.4290 0.4000 0.4291   150 0.18700 0.18512 0.17561 0.18698 0.18449 0.18699 σ2 = 0.2 ρ n OLS HK HKB LW MI1 MI3   10 2289 637 369 12.55 7.16 7.90 0.94 20 209 80 47 11.32 5.39 6.70   70 37 17 10.33 20 1.30 0.55   150 16.54 9.65 5.34 14.05 0.40 3.49 σ2 = 0.6 ρ n OLS HK HKB LW MI1 MI3   10 235 61 37 28 3.67 2.97 0.94 20 23.39 11.42 6.41 17.75 0.58 2.70   70 4.24 3.35 1.96 4.19 0.57 3.96   150 1.8343 1.6412 1.1203 1.8301 0.7647 1.8244 σ2 = 1 ρ n OLS HK HKB LW MI1 MI3   10 90 25 15 27 1.80 2.16 0.94 20 8.31 5.22 2.85 7.94 0.41 5.45   70 1.525 1.382 0.967 1.523 0.739 1.5208   150 0.660364 0.633101 0.516851 0.660168 0.534142 0.660196 σ2 = 0.2 ρ n OLS HK HKB LW MI1 MI3   10 14558 4061 2407 14.92 7.46 7.99 0.99 20 1398 516 299 6.03 6.65 7.88   70 253 100 58 37 3.14 3.31   150 110 44 27 50 1.03 0.21 σ2= 0.6 ρ n OLS HK HKB LW MI1 MI3   10 1870 497 407 58 4.83 5.85 0.99 20 156 58 34 55 1.36 0.47   70 27 13 7.58 25 0.09 6.09   150 12.17 7.28 3.97 11.965 0.13 8.96 σ2 = 1 ρ n OLS HK HKB LW MI1 MI3   10 588 160 98 72 2.86 2.01 0.99 20 56 23 13 43 0.23 2.35   70 10.18 6.29 3.40 10.06 0.17 8.40   150 4.505 3.432 1.967 4.495 0.426 4.433

Table 2: Estimated MSE when p = 8.