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.