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| Exch | AR−1 | ||||||
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| Bias | MSE | Bias | MSE | Bias | MSE | Bias | MSE | ||
n = 50, m = 3 | 0.05 |
| −0.0515 | 0.0439 | −0.0596 | 0.0430 | −0.0749 | 0.0554 | −0.0391 | 0.0484 |
| −0.0422 | 0.0242 | −0.0470 | 0.0215 | −0.0680 | 0.0395 | −0.0402 | 0.0250 | ||
| −0.0415 | 0.0244 | −0.0448 | 0.0221 | −0.0680 | 0.0395 | −0.0372 | 0.0242 | ||
| −0.0443 | 0.0258 | −0.0463 | 0.0290 | −0.0681 | 0.0408 | −0.0326 | 0.0311 | ||
0.1 |
| −0.0691 | 0.0596 | −0.0559 | 0.0595 | −0.0553 | 0.0574 | −0.0458 | 0.0566 | |
| −0.0566 | 0.0322 | −0.0428 | 0.0296 | −0.0427 | 0.0357 | −0.0362 | 0.0225 | ||
| −0.0576 | 0.0323 | −0.0415 | 0.0298 | −0.0416 | 0.0352 | −0.0339 | 0.0216 | ||
| −0.0575 | 0.0331 | −0.0428 | 0.0360 | −0.0478 | 0.0370 | −0.0436 | 0.0291 | ||
0.2 |
| −0.1047 | 0.0820 | −0.0329 | 0.0746 | −0.0640 | 0.0759 | −0.0655 | 0.0707 | |
| −0.0694 | 0.0335 | −0.0359 | 0.0314 | −0.0457 | 0.0313 | −0.0396 | 0.0225 | ||
| −0.0677 | 0.0328 | −0.0396 | 0.0329 | −0.0440 | 0.0296 | −0.0362 | 0.0223 | ||
| −0.0697 | 0.0339 | −0.0354 | 0.0396 | −0.0490 | 0.0317 | −0.0396 | 0.0276 | ||
n = 50, m = 10 | 0.05 |
| −0.0291 | 0.0103 | −0.0239 | 0.0093 | −0.0102 | 0.0103 | −0.0197 | 0.0102 |
| −0.0203 | 0.0053 | −0.0192 | 0.0029 | −0.0095 | 0.0059 | −0.0143 | 0.0046 | ||
| −0.0196 | 0.0057 | −0.0191 | 0.0035 | −0.0104 | 0.0056 | −0.0189 | 0.0033 | ||
| −0.0209 | 0.0064 | −0.0191 | 0.0057 | −0.0102 | 0.0061 | −0.0143 | 0.0060 | ||
0.1 |
| −0.0328 | 0.0149 | −0.0173 | 0.0120 | −0.0278 | 0.0127 | −0.0196 | 0.0139 | |
| −0.0255 | 0.0065 | −0.0190 | 0.0044 | −0.0180 | 0.0063 | −0.0136 | 0.0052 | ||
| −0.0242 | 0.0068 | −0.0177 | 0.0053 | −0.0180 | 0.0056 | −0.0160 | 0.0041 | ||
| −0.0236 | 0.0074 | −0.0160 | 0.0068 | −0.0189 | 0.0064 | −0.0132 | 0.0062 | ||
0.2 |
| −0.0237 | 0.0175 | −0.0243 | 0.0190 | −0.0195 | 0.0184 | −0.0203 | 0.0188 | |
| −0.0188 | 0.0063 | −0.0189 | 0.0042 | −0.0145 | 0.0075 | −0.0144 | 0.0061 | ||
| −0.0187 | 0.0068 | −0.0164 | 0.0049 | −0.0140 | 0.0074 | −0.0142 | 0.0051 | ||
| −0.0183 | 0.0073 | −0.0200 | 0.0060 | −0.0134 | 0.0074 | −0.0165 | 0.0070 |