T = 16

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

10.104799

7.057613

6.738948

6.184788

6.050583

8.456366

6.177713

5.953202

5.463797

5.331047

11.662473

7.849259

7.508877

6.977209

6.880579

9.690137

6.829913

6.566234

6.084434

5.968021

12.66125

8.272915

7.981810

7.570095

7.493272

10.44485

7.127584

6.867741

6.488661

6.370001

14.42257

8.547135

8.477262

8.013359

7.815218

11.37282

7.257813

7.170677

6.761561

6.536759

13.57665

8.833861

8.768585

8.396624

8.124370

11.21268

7.381579

7.305375

6.992618

6.704089

7.515034

5.702785

5.521963

5.150044

5.106301

6.158201

4.801708

4.715452

4.442723

4.370440

−0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

7.678307

5.505853

5.319160

4.878560

4.810342

6.211153

4.667212

4.553144

4.180554

4.123814

8.303226

6.084709

5.828086

5.398251

5.284490

6.793905

5.154172

4.968387

4.619672

4.508032

11.308509

6.369825

6.120845

5.729895

5.661293

8.339395

5.378279

5.171722

4.841492

4.765141

9.527971

6.515062

6.334533

5.983213

5.980158

7.683493

5.452414

5.276264

4.982744

4.961985

11.21796

6.709748

6.613226

6.283266

6.212964

8.52040

5.533295

5.425574

5.171398

5.091025

5.624492

4.536764

4.407507

4.20787

4.220202

4.435031

3.685262

3.621460

3.52632

3.526784

−0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

5.854310

4.614129

4.450614

4.104153

4.071496

4.690379

3.797536

3.687862

3.377469

3.355203

6.477140

5.020880

4.820959

4.400405

4.338959

5.185866

4.139763

3.992000

3.644523

3.588372

6.995178

5.179632

5.058707

4.642098

4.559153

5.562253

4.262361

4.175689

3.825978

3.746148

7.582853

5.289110

5.184678

4.854366

4.847457

5.943795

4.329547

4.232059

3.963737

3.953264

7.643981

5.421667

5.334255

5.065288

4.999804

6.022657

4.391354

4.297975

4.098932

4.036309

4.555767

3.809260

3.751630

3.675500

3.694839

3.484886

3.012381

2.991785

3.009166

3.029760

−0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

4.946986

4.109101

3.993817

3.732416

3.689729

3.877881

3.311935

3.217678

2.983089

2.945622

6.013903

4.413881

4.280075

3.912973

3.865327

4.605914

3.551440

3.456838

3.151018

3.112801

5.798416

4.582538

4.465277

4.065521

4.036813

4.558384

3.695440

3.605462

3.272145

3.246235

7.329457

4.670595

4.573579

4.234938

4.218368

5.273400

3.754787

3.673399

3.387504

3.371677

6.282278

4.750471

4.693650

4.407741

4.371729

4.894794

3.791391

3.732105

3.508467

3.474609

3.786689

3.431442

3.402612

3.420873

3.413330

2.841218

2.668702

2.662855

2.767120

2.762652

−0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

4.328863

3.797618

3.725240

3.500115

3.455610

3.336645

2.998849

2.945679

2.729684

2.683336

4.815955

4.039335

3.944386

3.635803

3.584260

3.725205

3.195628

3.120916

2.859659

2.814451

4.999448

4.195887

4.078796

3.759752

3.725542

3.834761

3.321051

3.233748

2.967010

2.940846

5.262485

4.257734

4.166259

3.883878

3.864419

4.045803

3.369215

3.289814

3.057697

3.042865

5.379765

4.334430

4.271319

4.054369

3.991043

4.094426

3.416061

3.353768

3.182999

3.132924

3.519662

3.169352

3.170976

3.257645

3.256856

2.577843

2.431206

2.449823

2.612378

2.618299

0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

9.169207

3.531091

3.531584

3.426493

3.397454

5.816766

2.713261

2.723348

2.622135

2.588296

7.166017

3.579678

3.559071

3.406866

3.344255

4.733346

2.733357

2.723116

2.584685

2.522182

5.237995

3.582729

3.583307

3.388663

3.343396

3.940595

2.732724

2.740745

2.574540

2.532280

106.55088

3.593424

3.602642

3.386178

3.349195

32.24409

2.756996

2.772088

2.585670

2.552199

5.819887

3.617573

3.602071

3.413973

3.363534

4.279046

2.803957

2.805649

2.632233

2.584499

4.438421

3.043399

3.052146

3.298014

3.253758

3.132075

2.356369

2.377214

2.677571

2.633728

0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

6.614856

3.660079

3.665528

3.575071

3.536856

4.866322

2.839646

2.851825

2.774962

2.734677

6.271850

3.728276

3.702065

3.529572

3.486953

4.738372

2.877470

2.863910

2.715610

2.671755

7.039926

3.734515

3.718088

3.557259

3.504762

5.147593

2.882276

2.877763

2.739649

2.693079

6.425993

3.762497

3.740573

3.541282

3.512819

4.797527

2.922289

2.911049

2.739087

2.713625

7.698145

3.778606

3.802609

3.563884

3.517804

5.428037

2.958079

3.000973

2.779773

2.732695

5.840824

3.162561

3.150983

3.376575

3.350006

3.854588

2.463015

2.462302

2.747796

2.712317

0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

8.863685

3.821654

3.809364

3.693154

3.668832

6.333016

2.994222

2.980448

2.895018

2.872028

7.584496

3.904125

3.866087

3.711670

3.676103

5.640342

3.046576

3.020521

2.898301

2.862822

9.793658

3.907610

3.903331

3.709158

3.659952

6.679243

3.047809

3.053602

2.897278

2.850157

9.693014

3.930620

3.922982

3.731214

3.656811

6.800805

3.078871

3.089716

2.929301

2.853717

8.937345

3.927038

3.962460

3.724193

3.695755

6.383594

3.102053

3.159034

2.929317

2.907544

8.307060

3.229146

3.247241

3.437700

3.431987

5.020883

2.513260

2.540260

2.796026

2.780009

0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

11.059256

3.978572

3.977398

3.861636

3.843570

7.658089

3.139282

3.144526

3.064289

3.044004

9.336427

4.099155

4.048213

3.901387

3.852881

6.939669

3.229476

3.190857

3.088188

3.039761

14.54079

4.138013

4.106580

3.913092

3.867478

9.17960

3.262516

3.247566

3.099173

3.048743

11.499214

4.118019

4.115803

3.967308

3.886660

7.986411

3.258656

3.273147

3.153481

3.077931

13.417157

4.149411

4.169012

3.995572

3.883450

8.656018

3.312617

3.352899

3.193913

3.093823

11.09983

3.349929

3.375640

3.546365

3.511981

6.65157

2.612055

2.646056

2.875031

2.842078

0.99

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

11.849856

4.105596

4.104060

3.974140

3.980389

8.342975

3.249944

3.262222

3.170775

3.173613

12.307512

4.196453

4.188436

4.014777

3.988237

8.677149

3.315011

3.318962

3.194907

3.161692

11.438582

4.231578

4.257999

4.039272

4.022405

8.148918

3.352555

3.391724

3.218157

3.203606

9.916682

4.296974

4.268755

4.084954

4.030510

7.481900

3.432939

3.424997

3.267891

3.216684

9.760764

4.333651

4.320151 4.105856

4.026813

7.414246

3.492325

3.505213

3.298539

3.228284

8.243687

3.516985

3.494499

3.614303

3.621642

5.679374

2.757741

2.743970

2.925156

2.931720