COLLINEARITY LEVELS (ρ) | Models | T = 8 | T = 16 | ||
RMSE | MAE | RMSE | MAE | ||
−0.99 | VAR(2) | N/A | N/A | 1 | 1 |
BVAR1 | 2 | 1 | 5 | 5 | |
BVAR2 | 1 | 2 | 4 | 4 | |
BVAR3 | 3 | 3 | 3 | 3 | |
BVAR4 | 4 | 4 | 2 | 2 | |
−0.95 | VAR(2) | N/A | N/A | 3 | 3 |
BVAR1 | 3 | 3 | 5 | 5 | |
BVAR2 | 4 | 4 | 4 | 4 | |
BVAR3 | 1 | 1 | 2 | 2 | |
BVAR4 | 2 | 2 | 1 | 1 | |
−0.9 | VAR(2) | N/A | N/A | 3 | 1 |
BVAR1 | 4 | 4 | 5 | 5 | |
BVAR2 | 3 | 3 | 4 | 4 | |
BVAR3 | 2 | 2 | 2 | 3 | |
BVAR4 | 1 | 1 | 1 | 2 | |
−0.85 | VAR(2) | N/A | N/A | 1 | 1 |
BVAR1 | 3 | 3 | 4 | 4 | |
BVAR2 | 4 | 4 | 5 | 5 | |
BVAR3 | 2 | 2 | 3 | 2 | |
BVAR4 | 1 | 1 | 2 | 3 | |
−0.8 | VAR(2) | N/A | N/A | 1 | 1 |
BVAR1 | 4 | 3 | 4 | 4 | |
BVAR2 | 3 | 4 | 5 | 5 | |
BVAR3 | 2 | 1 | 3 | 3 | |
BVAR4 | 1 | 2 | 2 | 2 | |
0.8 | VAR(2) | N/A | N/A | 1 | 1 |
BVAR1 | 1 | 1 | 2 | 2 | |
BVAR2 | 2 | 2 | 3 | 3 | |
BVAR3 | 3 | 3 | 5 | 5 | |
BVAR4 | 4 | 4 | 4 | 4 | |
0.85 | VAR(2) | N/A | N/A | 1 | 1 |
BVAR1 | 1 | 1 | 2 | 2 | |
BVAR2 | 2 | 2 | 3 | 3 | |
BVAR3 | 3 | 3 | 5 | 5 | |
BVAR4 | 4 | 4 | 4 | 4 | |
0.9 | VAR(2) | N/A | N/A | 1 | 1 |
BVAR1 | 2 | 1 | 2 | 2 | |
BVAR2 | 1 | 2 | 3 | 3 | |
BVAR3 | 3 | 3 | 5 | 5 | |
BVAR4 | 4 | 4 | 4 | 4 |