| T = 128 |
| 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) | 5 | 5 | 5 | 5 | 5 | 5 | 5 | 5 |
| BVAR1 | 4 | 4 | 4 | 4 | 3 | 3 | 4 | 4 | |
| BVAR2 | 3 | 3 | 3 | 3 | 4 | 4 | 3 | 3 | |
| BVAR3 | 2 | 2 | 2 | 2 | 2 | 2 | 1 | 2 | |
| BVAR4 | 1 | 1 | 1 | 1 | 1 | 1 | 2 | 1 | |
| −0.95 | VAR(2) | 5 | 3 | 5 | 4 | 5 | 5 | 5 | 5 |
| BVAR1 | 4 | 5 | 4 | 5 | 4 | 4 | 2 | 2 | |
| BVAR2 | 2 | 2 | 2 | 2 | 1 | 1 | 1 | 1 | |
| BVAR3 | 3 | 4 | 3 | 3 | 3 | 3 | 3 | 3 | |
| BVAR4 | 1 | 1 | 1 | 1 | 2 | 2 | 4 | 4 | |