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.