T = 8

COLLINERITY (ρ)

AUTOCO

LEVELS (d)

Models

−0.99

−0.95

−0.9

−0.85

−0.8

0.8

RMSE

MAE

RMSE

MAE

RMSE

MAE

RMSE

MAE

RMSE

MAE

RMSE

MAE

−0.99

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

5.568972

5.471007

4.995865

4.913680

N/A

4.357228

4.306492

4.107761

4.054765

N/A

6.346049

6.151134

5.510815

5.337825

N/A

4.906742

4.805023

4.545857

4.442210

N/A

6.791074

6.519096

5.737559

5.571354

N/A

5.226318

5.070815

4.752087

4.654506

N/A

6.893263

6.713149

5.927203

5.696384

N/A

5.304391

5.260478

4.932999

4.751056

N/A

6.930938

6.650402

6.004684

5.789108

N/A

5.378541

5.252652

4.990791

4.793418

N/A

4.846500

4.806706

4.586969

4.548321

N/A

3.749898

3.741190

3.749766

3.755239

−0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

4.924112

4.894266

4.552996

4.509209

N/A

3.811504

3.809230

3.663140

3.639075

N/A

5.514037

5.419252

4.967818

4.804357

N/A

4.239658

4.193870

4.020410

3.903115

N.A

5.869246

5.667241

5.178609

4.988811

N/A

4.486138

4.371583

4.219038

4.086084

N/A

6.038599

5.914171

5.315171

5.110920

N/A

4.618446

4.594582

4.352908

4.202868

N/A

6.084726

5.841484

5.305581

5.201375

N/A

4.694254

4.577024

4.340806

4.266454

N/A

4.302530

4.274452

4.224433

4.233088

N/A

3.300939

3.297456

3.406297

3.446089

−0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

4.40456

4.421230

4.206626

4.189057

N/A

3.36516

3.393082

3.303933

3.302355

N/A

4.864724

4.830294

4.473879

4.408781

N/A

3.699754

3.695425

3.529379

3.491686

N/A

5.115519

5.050976

4.647730

4.536919

N/A

3.885651

3.860234

3.690321

3.627604

N/A

5.287358

5.142196

4.766993

4.636597

N/A

4.021597

3.946026

3.816559

3.729925

N/A

5.297730

5.164368

4.807192

4.664344

N/A

4.052794

3.998000

3.862643

3.756938

N/A

3.882735

3.873145

3.922100

3.936055

N/A

2.947996

2.957112

3.129902

3.160707

−0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

4.172696

4.144112

4.002858

3.964532

N/A

3.150146

3.146404

3.082628

3.055228

N/A

4.460275

4.459834

4.199869

4.160505

N/A

3.361247

3.381266

3.248724

3.230431

N/A

4.673119

4.630900

4.325427

4.282877

N/A

3.524658

3.506207

3.368202

3.353908

N/A

4.791012

4.693236

4.411859

4.308728

N/A

3.615496

3.561376

3.463734

3.402976

N/A

4.828145

4.736905

4.45633

4.331752

N/A

3.665550

3.634963

3.51665

3.426619

N/A

3.617484

3.621705

3.745665

3.788757

N/A

2.722178

2.738192

2.964287

3.018653

−0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

3.966541

3.982988

3.859199

3.865623

N/A

2.963655

2.986436

2.928322

2.939495

N/A

4.212467

4.192779

4.020930

3.977014

N/A

3.146166

3.136875

3.058512

3.027379

N/A

4.386190

4.359005

4.138915

4.060440

N/A

3.277238

3.275833

3.174228

3.120372

N/A

4.475193

4.445047

4.180315

4.088982

N/A

3.354209

3.345427

3.229568

3.165973

N/A

4.512634

4.453733

4.222451

4.135093

N/A

3.394073

3.380426

3.285421

3.228313

N/A

3.446991

3.457457

3.624815

3.667822

N/A

2.570778

2.593641

2.857300

2.911481

0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

3.664427

3.686138

3.671995

3.700297

N/A

2.661856

2.696559

2.698841

2.727417

N/A

3.702948

3.730683

3.668494

3.675868

N/A

2.680361

2.712849

2.679722

2.682132

N/A

3.743510

3.735139

3.664705

3.633804

N/A

2.707372

2.708369

2.673309

2.653954

N/A

3.712702

3.720690

3.661278

3.634072

N/A

2.692807

2.706805

2.687255

2.674226

N/A

3.716289

3.701537

3.626062

3.599764

N/A

2.718694

2.724096

2.680750

2.680783

N/A

3.172067

3.192730

3.418707

3.459038

N/A

2.339266

2.372426

2.698835

2.751452

0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

3.705972

3.702085

3.700710

3.720387

N/A

2.704436

2.706138

2.722275

2.750880

N/A

3.748004

3.752680

3.698570

3.701877

N/A

2.721802

2.732167

2.709008

2.714742

N/A

3.745347

3.738364

3.695413

3.679862

N/A

2.714481

2.716470

2.704197

2.701747

N/A

3.750389

3.736367

3.664489

3.651776

N/A

2.725927

2.726194

2.693061

2.696512

N/A

3.729666

3.751587

3.653480

3.654069

N/A

2.734343

2.773472

2.715004

2.736138

N/A

3.186470

3.213187

3.405944

3.469572

N/A

2.348993

2.383334

2.680517

2.756269

0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

3.695506

3.713280

3.717683

3.731138

N/A

2.694242

2.721317

2.749170

2.763758

N/A

3.756887

3.762058

3.723994

3.697047

N/A

2.729671

2.742930

2.731201

2.711482

N/A

3.791675

3.751100

3.708352

3.699408

N/A

2.759002

2.734233

2.719700

2.719445

N/A

3.777360

3.779886

3.694109

3.680536

N/A

2.757002

2.767498

2.724118

2.723904

N/A

3.766396

3.777727

3.690586

3.675044

N/A

2.774918

2.804381

2.746572

2.756350

N/A

3.200669

3.201165

3.428952

3.459280

N/A

2.359688

2.375459

2.697854

2.743717

0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

3.722003

3.724179

3.717546

3.743243

N/A

2.721109

2.732423

2.744508

2.776283

N/A

3.794420

3.768054

3.726093

3.741126

N/A

2.761852

2.750236

2.731677

2.755417

N/A

3.768156

3.789197

3.714950

3.694183

N/A

2.745364

2.767812

2.727748

2.716774

N/A

3.782314

3.800848

3.716211

3.696180

N/A

2.761302

2.791411

2.749526

2.745173

N/A

3.783861

3.800298

3.721622

3.693516

N/A

2.795752

2.824817

2.782934

2.774400

N/A

3.203982

3.225113

3.429190

3.477101

N/A

2.358522

2.393398

2.692399

2.751985

0.99

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

3.717622

3.735449

3.719875

3.740953

N/A

2.714390

2.744270

2.748584

2.770389

N/A

3.792705

3.775062

3.739040

3.736597

N/A

2.767841

2.758082

2.743129

2.752376

N/A

3.798213

3.791127

3.728527

3.722800

N/A

2.767834

2.768266

2.739729

2.745257

N/A

3.789347

3.783690

3.732343

3.722079

N/A

2.768060

2.776671

2.764869

2.772045

N/A

3.815843

3.820224

3.722467

3.697656

N/A

2.824166

2.845886

2.782521

2.780737

N/A

3.220688

3.242346

3.434744

3.471326

N/A

2.372169

2.406335

2.689321

2.736448