sigma=1 sigma=1

ꝭ=0.90,p=4 ꝭ=0.90,p=8
n=25 n=50 n=75 n=100 n=25 n=50 n=75
OLS 1.365 0.566 0.298 0.296 OLS 2.909 1.286 0.828
HK 0.78 0.392 0.234 0.242 HK 1.773 0.875 0.625
KGM 0.262 0.156 0.089 0.099 KGM 0.305 0.15 0.113
KMED 0.396 0.25 0.154 0.169 KMED 0.718 0.433 0.348
KMS 0.134 0.131 0.148 0.146 KMS 0.117 0.072 0.077
KM1 1.364 0.566 0.298 0.296 KM1 2.909 1.286 0.828
KM2 0.454 0.358 0.232 0.241 KM2 0.965 0.745 0.607
KM3 0.202 0.143 0.095 0.102 KM3 0.181 0.137 0.112
KM4 1.269 0.561 0.298 0.295 KM4 2.893 1.286 0.828
KM5 0.452 0.251 0.189 0.188 KM5 0.632 0.754 0.838
KM6 0.671 0.438 0.266 0.269 KM6 1.744 1.061 0.754
KM7 0.396 0.25 0.154 0.169 KM7 0.718 0.433 0.348
f1 0.081 0.062 0.06 0.06 f1 0.744 0.417 0.343
f2 0.107 0.113 0.097 0.106 f2 0.237 0.241 0.238
f3 0.085 0.084 0.073 0.079 f3 0.152 0.159 0.161
f4 0.308 0.151 0.027 0.146 f4 0.086 0.143 0.221
f5 0.085 0.081 0.076 0.081 f5 0.449 0.266 0.236
f6 0.162 0.172 0.144 0.155 f6 0.347 0.301 0.301
f7 0.112 0.106 0.106 0.104 f7 0.119 0.089 0.085

sigma=1
ꝭ=0.90,p=4
n=25 n=50 n=75 n=100
OLS 19 18 17 18 OLS 18 17 16
HK 16 15 15 15 HK 16 15 14
KGM 9 9 5 4 KGM 7 5 4
KMED 11 11 11 11 KMED 11 11 11
KMS 6 6 10 8 KMS 2 1 1
KM1 18 18 17 18 KM1 18 17 16
KM2 14 14 14 14 KM2 14 13 13
KM3 8 7 6 5 KM3 5 3 3
KM4 17 17 17 17 KM4 17 17 16
KM5 13 13 13 13 KM5 10 14 19
KM6 15 16 16 16 KM6 15 16 15
KM7 11 11 11 11 KM7 11 11 11
f1 1 1 2 1 f1 13 10 10
f2 4 5 7 7 f2 6 7 8
f3 2 3 3 2 f3 4 6 5
f4 10 8 1 8 f4 1 4 6
f5 2 2 4 3 f5 9 8 7
f6 7 10 9 10 f6 8 9 9
f7 5 4 8 6 f7 3 2 2
ma=1 sigma=1
90,p=8 ꝭ=0.90,p=16
n=100 n=25 n=50 n=75 n=100
0.625 OLS 14.665 3.5 1.903 1.36
0.483 HK 8.536 2.259 1.36 1.034
0.081 KGM 0.501 0.187 0.13 0.101
0.256 KMED 1.258 0.772 0.611 0.506
0.088 KMS 0.748 0.061 0.036 0.04
0.625 KM1 14.665 3.5 1.903 1.36
0.469 KM2 1.191 1.399 1.126 0.948
0.095 KM3 0.147 0.115 0.096 0.087
0.625 KM4 14.588 3.5 1.903 1.36
0.905 KM5 0.993 0.999 1 1
0.583 KM6 4.131 2.582 1.657 1.257
0.256 KM7 1.258 0.772 0.611 0.506
0.273 f1 3.516 1.575 1.012 0.813
0.21 f2 0.441 0.482 0.478 0.446
0.147 f3 0.248 0.302 0.321 0.314
0.071 f4 0.113 0.583 0.618 0.564
0.191 f5 1.142 0.665 0.457 0.408
0.239 f6 0.316 0.432 0.457 0.439
0.083 f7 0.295 0.079 0.066 0.065

16 OLS 18 17 17 17
14 HK 16 15 15 15
2 KGM 7 4 4 4
10 KMED 12 10 9 9
4 KMS 8 1 1 1
16 KM1 18 17 17 17
13 KM2 11 13 14 13
5 KM3 2 3 3 3
16 KM4 17 17 17 17
19 KM5 9 12 12 14
15 KM6 15 16 16 16
10 KM7 12 10 9 9
12 f1 14 14 13 12
8 f2 6 7 8 8
6 f3 3 5 5 5
1 f4 1 8 11 11
7 f5 10 9 6 6
9 f6 5 6 6 7
3 f7 4 2 2 2
 sigma=1 sigma=1
ꝭ=0.90,p=4 ꝭ=0.90,p=8
n=25 n=50 n=75 n=100 n=25 n=50 n=75
OLS 2.834 1.181 0.617 0.607 OLS 6.058 2.661 1.706
HK 1.511 0.698 0.41 0.424 HK 3.559 1.619 1.11
KGM 0.422 0.247 0.139 0.16 KGM 0.538 0.262 0.193
KMED 0.535 0.382 0.249 0.282 KMED 1.03 0.661 0.544
KMS 0.171 0.105 0.121 0.119 KMS 0.251 0.064 0.054
KM1 2.834 1.18 0.617 0.607 KM1 6.058 2.661 1.706
KM2 0.428 0.462 0.362 0.394 KM2 0.88 0.937 0.887
KM3 0.247 0.186 0.123 0.138 KM3 0.203 0.157 0.134
KM4 2.146 1.117 0.611 0.602 KM4 5.796 2.657 1.705
KM5 0.916 0.401 0.199 0.226 KM5 0.944 0.534 0.594
KM6 0.757 0.65 0.456 0.473 KM6 2.038 1.633 1.311
KM7 0.535 0.382 0.249 0.282 KM7 1.03 0.661 0.544
f1 0.068 0.053 0.058 0.056 f1 1.2 0.618 0.526
f2 0.088 0.104 0.105 0.112 f2 0.191 0.229 0.244
f3 0.069 0.078 0.077 0.081 f3 0.118 0.144 0.157
f4 0.935 0.877 0.53 0.876 f4 0.822 0.905 0.934
f5 0.068 0.071 0.077 0.079 f5 0.647 0.345 0.325
f6 0.086 0.116 0.129 0.136 f6 0.175 0.194 0.227
f7 0.106 0.095 0.1 0.099 f7 0.152 0.08 0.076
ma=1 sigma=1
90,p=8 ꝭ=0.90,p=16
n=100 n=25 n=50 n=75 n=100
1.313 OLS 31.047 7.299 3.999 2.851
0.879 HK 17.836 4.518 2.611 1.946
0.137 KGM 0.942 0.347 0.241 0.187
0.407 KMED 1.823 1.164 0.951 0.8
0.062 KMS 2.083 0.138 0.034 0.026
1.313 KM1 31.047 7.299 3.999 2.851
0.709 KM2 0.883 1.589 1.556 1.399
0.111 KM3 0.153 0.119 0.105 0.095
1.313 KM4 29.892 7.299 3.999 2.851
0.693 KM5 1.832 0.972 0.995 0.999
1.066 KM6 4.172 3.687 2.758 2.262
0.407 KM7 1.823 1.164 0.951 0.8
0.431 f1 5.562 2.564 1.656 1.371
0.24 f2 0.372 0.473 0.519 0.524
0.158 f3 0.19 0.278 0.319 0.336
0.822 f4 0.962 0.995 0.996 0.995
0.271 f5 1.829 0.968 0.656 0.597
0.204 f6 0.134 0.252 0.308 0.35
0.075 f7 0.657 0.091 0.055 0.056
 sigma=1 sigma=1
ꝭ=0.90,p=4 ꝭ=0.90,p=8
n=25 n=50 n=75 n=100 n=25 n=50 n=75
OLS 15.438 6.49 3.35 3.263 OLS 33.181 14.408 9.195
HK 7.978 3.403 1.766 1.785 HK 19.194 8.258 5.315
KGM 1.385 0.832 0.462 0.553 KGM 2.162 1.044 0.763
KMED 0.789 0.708 0.57 0.646 KMED 1.731 1.383 1.264
KMS 1.451 0.183 0.068 0.059 KMS 3.043 0.432 0.099
KM1 15.437 6.49 3.35 3.263 KM1 33.181 14.408 9.195
KM2 0.121 0.269 0.402 0.417 KM2 0.196 0.505 0.708
KM3 0.313 0.321 0.24 0.277 KM3 0.283 0.24 0.2
KM4 2.275 2.496 2.355 2.275 KM4 10.953 10.415 8.219
KM5 6.502 2.659 1.077 1.294 KM5 15.919 3.848 1.764
KM6 0.381 0.632 0.75 0.793 KM6 1.099 1.753 1.963
KM7 0.789 0.708 0.57 0.646 KM7 1.731 1.383 1.264
f1 0.05 0.026 0.032 0.027 f1 3.112 1.727 1.565
f2 0.041 0.051 0.07 0.063 f2 0.073 0.11 0.135
f3 0.033 0.035 0.05 0.044 f3 0.04 0.062 0.078
f4 1 1 1 1 f4 1 1 1
f5 0.034 0.031 0.044 0.038 f5 1.279 0.778 0.866
f6 0.034 0.019 0.025 0.02 f6 0.02 0.021 0.027
f7 0.24 0.061 0.06 0.057 f7 0.629 0.136 0.086
ma=1 sigma=1
90,p=8 ꝭ=0.90,p=16
n=100 n=25 n=50 n=75 n=100
7.273 OLS 173.502 39.927 22.14 15.728
4.199 HK 97.654 24.199 13.685 9.907
0.54 KGM 4.22 1.539 1.06 0.818
1.051 KMED 3.412 2.615 2.333 2.069
0.057 KMS 22.299 1.819 0.358 0.122
7.273 KM1 173.502 39.927 22.14 15.728
0.84 KM2 0.137 0.67 1.185 1.527
0.186 KM3 0.186 0.143 0.138 0.133
6.951 KM4 53.178 35.974 21.828 15.708
0.792 KM5 76.819 4.117 1.068 0.69
2.017 KM6 2.218 3.991 4.591 4.657
1.051 KM7 3.412 2.615 2.333 2.069
1.226 f1 14.007 7.124 4.661 4.12
0.172 f2 0.151 0.247 0.31 0.381
0.101 f3 0.063 0.12 0.16 0.205
1 f4 1 1 1 1
0.626 f5 3.809 2.182 1.431 1.357
0.03 f6 0.013 0.022 0.028 0.041
0.057 f7 3.384 0.408 0.083 0.044
 sigma=1 sigma=1
ꝭ=0.90,p=4 ꝭ=0.90,p=8
n=25 n=50 n=75 n=100 n=25 n=50 n=75
OLS 15658.97 51989.04 18212508 70960.7 OLS 56014.26 52954.53 47737283
HK 5710.569 25950.32 13558541 33845.43 HK 34496.17 25710.65 36615802
KGM 755.499 1077.069 4151269 2708.987 KGM 5877.374 2572.523 9729636
KMED 3382.395 6616.008 10476117 24516.81 KMED 16908.88 17935.01 29493375
KMS 14636.56 49918.47 18203989 63707.32 KMS 54263.66 49971.88 47725393
KM1 15608.17 51920.2 18203683 70904.05 KM1 56013.81 52954.45 47737244
KM2 8117.647 32603.56 16251997 62802.74 KM2 23984.97 41474.71 38649828
KM3 567.252 1990.36 6015948 2553.542 KM3 2759.039 1910.53 8571792
KM4 15638.59 51976.8 18208998 70958.07 KM4 56009.71 52954.48 47737228
KM5 298.694 131.648 895319.4 117.686 KM5 59.185 1.219 1783.325
KM6 11470.12 46563.39 17467652 68030.24 KM6 38117.34 48503.69 43139184
KM7 3382.395 6616.008 10476117 24516.81 KM7 16908.88 17935.01 29493375
f1 0.687 0.67 0.67 0.661 f1 13.853 18.238 7.67
f2 0.762 1.06 1.424 1.675 f2 1.023 1.737 2.41
f3 0.601 0.742 0.956 1.136 f3 0.654 1.047 1.397
f4 49.433 161.012 599071.8 1642.51 f4 576.946 554.436 391434.6
f5 0.608 0.592 0.586 0.584 f5 3.454 8.252 2.83
f6 2348.473 11450.75 11209857 34583.35 f6 9237.569 17362.59 21625930
f7 76.7 156.419 119212.5 51.496 f7 619.786 286.93 144459.6

OLS 19 19 19 19 OLS 19 19 19
HK 13 13 13 12 HK 14 13 13
KGM 9 8 8 9 KGM 9 9 9
KMED 11 10 10 10 KMED 11 11 11
KMS 16 16 17 15 KMS 16 16 16
KM1 17 17 16 17 KM1 18 17 18
KM2 14 14 14 14 KM2 13 14 14
KM3 8 9 9 8 KM3 8 8 8
KM4 18 18 18 18 KM4 17 18 17
KM5 7 5 7 6 KM5 5 2 5
KM6 15 15 15 16 KM6 15 15 15
KM7 11 10 10 10 KM7 11 11 11
f1 3 2 2 2 f1 4 5 4
f2 4 4 4 4 f2 2 3 2
f3 1 3 3 3 f3 1 1 1
f4 5 7 6 7 f4 6 7 7
f5 2 1 1 1 f5 3 4 3
f6 10 12 12 13 f6 10 10 10
f7 6 6 5 5 f7 7 6 6
ma=1 sigma=1
90,p=8 ꝭ=0.90,p=16
n=100 n=25 n=50 n=75 n=100
159866.7 OLS 243550.6 214705.5 1.04E+08 610618.8
92577.23 HK 139644 129654.3 73740592 412542.4
22552.85 KGM 3887.15 12132.22 548169.1 65252.21
83626.15 KMED 17288.89 55201.83 12150755 266698.2
151180.2 KMS 234650 207208.7 1.04E+08 594609.2
159866.6 KM1 243550.6 214705.5 1.04E+08 610618.8
145935.3 KM2 22808.89 104062.2 48473811 443831.8
29481.12 KM3 241.431 6562.78 906443.9 49067.76
159866.7 KM4 243543.8 214705.5 1.04E+08 610618.8
1.38 KM5 16.649 0.999 1 1
154032.8 KM6 61447.87 159400.2 94321743 551802.8
83626.15 KM7 17288.89 55201.83 12150755 266698.2
9.892 f1 59.649 63.29 105.746 26.765
2.882 f2 1.637 2.691 3.766 5.181
1.653 f3 0.775 1.38 1.954 2.73
1846.798 f4 130.615 5.618 412.069 21.248
3.32 f5 15.605 19.467 14.946 5.177
88198.99 f6 5146.123 29601.49 16763872 203685.5
156.203 f7 58039.44 985.716 79308.92 585.872

19 OLS 19 17 17 17
13 HK 15 14 14 13
8 KGM 8 9 8 9
10 KMED 10 11 10 11
15 KMS 16 16 16 16
17 KM1 18 17 17 17
14 KM2 12 13 13 14
9 KM3 7 8 9 8
18 KM4 17 17 17 17
1 KM5 4 1 1 1
16 KM6 14 15 15 15
10 KM7 10 11 10 11
5 f1 5 6 5 6
3 f2 2 3 3 4
2 f3 1 2 2 2
7 f4 6 4 6 5
4 f5 3 5 4 3
12 f6 9 10 12 10
6 f7 13 7 7 7
 sigma=1 sigma=1
ꝭ=0.90,p=4 ꝭ=0.90,p=8
n=25 n=50 n=75 n=100 n=25 n=50 n=75
OLS OLS
HK HK
KGM KGM
KMED KMED
KMS KMS
KM1 KM1
KM2 KM2
KM3 KM3
KM4 KM4
KM5 KM5
KM6 KM6
KM7 KM7
f1 f1
f2 f2
f3 f3
f4 f4
f5 f5
f6 f6
f7 f7
ma=1 sigma=1
90,p=8 ꝭ=0.90,p=16
n=100 n=25 n=50 n=75 n=100
OLS
HK
KGM
KMED
KMS
KM1
KM2
KM3
KM4
KM5
KM6
KM7
f1
f2
f3
f4
f5
f6
f7
 sigma=1 sigma=1
ꝭ=0.90,p=4 ꝭ=0.90,p=8
n=25 n=50 n=75 n=100 n=25 n=50 n=75
OLS OLS
HK HK
KGM KGM
KMED KMED
KMS KMS
KM1 KM1
KM2 KM2
KM3 KM3
KM4 KM4
KM5 KM5
KM6 KM6
KM7 KM7
f1 f1
f2 f2
f3 f3
f4 f4
f5 f5
f6 f6
f7 f7
ma=1 sigma=1
90,p=8 ꝭ=0.90,p=16
n=100 n=25 n=50 n=75 n=100
OLS
HK
KGM
KMED
KMS
KM1
KM2
KM3
KM4
KM5
KM6
KM7
f1
f2
f3
f4
f5
f6
f7