T = 16

COLLINEARITY (ρ)

AUTOCO

LEVELS (d)

Models

0.85

0.9

0.95

0.99

RMSE

MAE

RMSE

MAE

RMSE

MAE

RMSE

MAE

−0.99

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

7.099558

5.354367

5.141425

4.832524

4.815467

5.488038

4.368050

4.248849

4.074875

4.053705

6.521014

5.091192

4.938309

4.633212

4.557603

4.816776

3.915295

3.860671

3.769205

3.727673

6.585069

5.069587

4.920665

4.660507

4.557807

4.887567

3.872711

3.812141

3.713638

3.652285

7.684958

5.569227

5.406792

5.024710

4.973870

6.278895

4.708213

4.618110

4.285318

4.240757

−0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

5.544257

4.324869

4.220449

4.003888

4.010320

4.186718

3.429009

3.381017

3.300624

3.316631

5.112994

4.172032

4.055720

3.926039

3.893640

3.697093

3.185216

3.134407

3.172842

3.163165

5.975801

4.171876

4.083852

3.961607

3.883255

4.158646

3.196001

3.160311

3.147595

3.098337

5.658868

4.494514

4.391751

4.179838

4.133488

4.539939

3.697396

3.641695

3.447062

3.414553

−0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

4.980604

3.687533

3.639701

3.603180

3.588368

3.463746

2.859690

2.844916

2.919753

2.919223

4.287961

3.606291

3.560013

3.523595

3.497328

3.065169

2.734738

2.719446

2.814447

2.805292

4.268945

3.655296

3.617843

3.566352

3.535946

3.127354

2.798103

2.787296

2.799926

2.787899

4.649767

3.916813

3.847798

3.701483

3.659214

3.627321

3.150820

3.106193

2.958137

2.921385

−0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

3.931436

3.361689

3.316281

3.376193

3.337128

2.836340

2.566424

2.550419

2.710927

2.681466

3.752833

3.327498

3.298469

3.351763

3.320024

2.672187

2.511070

2.503870

2.651112

2.634910

3.914835

3.365351

3.347638

3.374493

3.340993

2.807772

2.561936

2.561983

2.632058

2.604237

4.153217

3.590020

3.545986

3.484812

3.455871

3.173080

2.833207

2.805145

2.733155

2.708515

−0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

3.561568

3.141871

3.130818

3.235323

3.217223

2.513821

2.376008

2.385163

2.576755

2.563044

3.499674

3.122570

3.122629

3.239783

3.199575

2.428740

2.341436

2.353909

2.548926

2.517306

3.460913

3.185755

3.171209

3.269472

3.239034

2.464968

2.407006

2.407891

2.537393

2.508146

3.715763

3.377952

3.342798

3.326908

3.316027

2.771846

2.621657

2.599312

2.569621

2.558102

0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

5.935846

3.092480

3.104172

3.333406

3.326683

3.875375

2.406703

2.425831

2.708006

2.691638

4.596944

3.168463

3.174154

3.390600

3.378089

3.336584

2.470473

2.488708

2.743593

2.725091

6.168058

3.278105

3.284224

3.404835

3.406680

4.172277

2.556307

2.572859

2.724011

2.721354

4.848704

3.403328

3.432744

3.430755

3.415459

3.574810

2.646337

2.683555

2.692097

2.683138

0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

5.906603

3.187109

3.212084

3.401360

3.384663

4.141382

2.486379

2.518349

2.762893

2.743115

6.431106

3.268792

3.295495

3.443323

3.424266

4.395475

2.560739

2.592801

2.790721

2.770110

5.362360

3.373927

3.388809

3.502990

3.521424

3.956971

2.649528

2.675846

2.817918

2.828056

9.670937

3.541941

3.509886

3.545501

3.531460

6.168488

2.779677

2.752773

2.809354

2.789153

0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

5.865847

3.297557

3.314972

3.498159

3.474059

4.201976

2.583295

2.615505

2.843494

2.817931

61.66698

3.370430

3.393415

3.535499

3.524660

26.38680

2.651448

2.686720

2.870239

2.859486

6.365724

3.493143

3.522315

3.590405

3.581698

4.768412

2.755960

2.795523

2.896881

2.885804

7.408496

3.657923

3.667833

3.658135

3.646798

5.488225

2.887093

2.904777

2.920263

2.905549

0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

7.603355

3.411263

3.418956

3.595808

3.574028

5.347943

2.676685

2.692997

2.921298

2.899565

7.375481

3.512366

3.504870

3.636408

3.663024

5.345211

2.778681

2.776759

2.951149

2.976121

8.208019

3.625132

3.627279

3.712393

3.696802

5.917109

2.871509

2.887530

3.001418

2.987986

7.718048

3.809260

3.819555

3.771147

3.790026

5.867731

3.022592

3.045406

3.027770

3.039191

0.99

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

8.702855

3.539944

3.582537

3.682735

3.644202

5.976177

2.791661

2.844710

2.992844

2.955269

13.251931

3.658224

3.670373

3.762536

3.729751

8.125016

2.903635

2.931474

3.059895

3.032743

9.090280

3.739543

3.763571

3.793360

3.817374

6.638492

2.972059

3.009277

3.080622

3.094050

9.785179

3.923395

3.908205

3.888633

3.902983

7.055832

3.126881

3.124968

3.138854

3.149683