δ

β ^

Exch

AR−1

ρ = 0.3

ρ = 0.7

ρ = 0.3

ρ = 0.7

Bias

MSE

Bias

MSE

Bias

MSE

Bias

MSE

n = 50,

m = 3

0.05

β ^ ( Xue )

−0.0515

0.0439

−0.0596

0.0430

−0.0749

0.0554

−0.0391

0.0484

β ^ ( Exch )

−0.0422

0.0242

−0.0470

0.0215

−0.0680

0.0395

−0.0402

0.0250

β ^ ( AR-1 )

−0.0415

0.0244

−0.0448

0.0221

−0.0680

0.0395

−0.0372

0.0242

β ^ ( Ind )

−0.0443

0.0258

−0.0463

0.0290

−0.0681

0.0408

−0.0326

0.0311

0.1

β ^ ( Xue )

−0.0691

0.0596

−0.0559

0.0595

−0.0553

0.0574

−0.0458

0.0566

β ^ ( Exch )

−0.0566

0.0322

−0.0428

0.0296

−0.0427

0.0357

−0.0362

0.0225

β ^ ( AR-1 )

−0.0576

0.0323

−0.0415

0.0298

−0.0416

0.0352

−0.0339

0.0216

β ^ ( Ind )

−0.0575

0.0331

−0.0428

0.0360

−0.0478

0.0370

−0.0436

0.0291

0.2

β ^ ( Xue )

−0.1047

0.0820

−0.0329

0.0746

−0.0640

0.0759

−0.0655

0.0707

β ^ ( Exch )

−0.0694

0.0335

−0.0359

0.0314

−0.0457

0.0313

−0.0396

0.0225

β ^ ( AR-1 )

−0.0677

0.0328

−0.0396

0.0329

−0.0440

0.0296

−0.0362

0.0223

β ^ ( Ind )

−0.0697

0.0339

−0.0354

0.0396

−0.0490

0.0317

−0.0396

0.0276

n = 50,

m = 10

0.05

β ^ ( Xue )

−0.0291

0.0103

−0.0239

0.0093

−0.0102

0.0103

−0.0197

0.0102

β ^ ( Exch )

−0.0203

0.0053

−0.0192

0.0029

−0.0095

0.0059

−0.0143

0.0046

β ^ ( AR-1 )

−0.0196

0.0057

−0.0191

0.0035

−0.0104

0.0056

−0.0189

0.0033

β ^ ( Ind )

−0.0209

0.0064

−0.0191

0.0057

−0.0102

0.0061

−0.0143

0.0060

0.1

β ^ ( Xue )

−0.0328

0.0149

−0.0173

0.0120

−0.0278

0.0127

−0.0196

0.0139

β ^ ( Exch )

−0.0255

0.0065

−0.0190

0.0044

−0.0180

0.0063

−0.0136

0.0052

β ^ ( AR-1 )

−0.0242

0.0068

−0.0177

0.0053

−0.0180

0.0056

−0.0160

0.0041

β ^ ( Ind )

−0.0236

0.0074

−0.0160

0.0068

−0.0189

0.0064

−0.0132

0.0062

0.2

β ^ ( Xue )

−0.0237

0.0175

−0.0243

0.0190

−0.0195

0.0184

−0.0203

0.0188

β ^ ( Exch )

−0.0188

0.0063

−0.0189

0.0042

−0.0145

0.0075

−0.0144

0.0061

β ^ ( AR-1 )

−0.0187

0.0068

−0.0164

0.0049

−0.0140

0.0074

−0.0142

0.0051

β ^ ( Ind )

−0.0183

0.0073

−0.0200

0.0060

−0.0134

0.0074

−0.0165

0.0070