T = 8

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

N/A

4.537550

4.558609

4.394162

4.358627

N/A

3.481325

3.520800

3.557580

3.554616

N/A

4.311283

4.307658

4.217586

4.225348

N/A

3.222246

3.239499

3.334594

3.373656

N/A

4.184486

4.183656

4.158514

4.156735

N/A

3.023109

3.042939

3.212328

3.244152

N/A

4.462124

4.456530

4.282317

4.254922

N/A

3.411701

3.436138

3.426102

3.411702

−0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

4.110707

4.112315

4.082247

4.105616

N/A

3.124814

3.143094

3.265733

3.309773

N/A

3.937992

3.938351

3.976808

4.002506

N/A

2.925000

2.944167

3.124123

3.172131

N/A

3.887423

3.891292

3.925936

3.954466

N/A

2.820268

2.847463

3.033313

3.080437

N/A

4.103056

4.098306

4.037778

4.051955

N/A

3.106144

3.127103

3.185102

3.207187

−0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

3.741569

3.762917

3.839031

3.864931

N/A

2.812975

2.848642

3.040055

3.082028

N/A

3.682325

3.678935

3.780936

3.811408

N/A

2.714770

2.734708

2.954366

3.000603

N/A

3.645236

3.662074

3.751349

3.803668

N/A

2.650995

2.683155

2.889068

2.956136

N/A

3.840964

3.839072

3.835362

3.857246

N/A

2.877191

2.897901

2.978061

3.008656

−0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

3.527073

3.544249

3.695972

3.712037

N/A

2.625006

2.654888

2.904785

2.939218

N/A

3.503651

3.503690

3.651980

3.708709

N/A

2.570472

2.587308

2.837787

2.911632

N/A

3.532477

3.529305

3.645202

3.696717

N/A

2.568397

2.584525

2.801735

2.863443

N/A

3.676042

3.679151

3.719638

3.784225

N/A

2.729773

2.745294

2.853858

2.921798

−0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

3.404053

3.414053

3.592165

3.628137

N/A

2.511238

2.538967

2.809641

2.864632

N/A

3.398815

3.415838

3.572807

3.627878

N/A

2.480924

2.509690

2.768130

2.838415

N/A

3.449632

3.450560

3.589777

3.648316

N/A

2.501783

2.520839

2.746322

2.821996

N/A

3.600622

3.590963

3.652788

3.705193

N/A

2.651085

2.661195

2.780575

2.838146

0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

3.246592

3.246896

3.474274

3.491501

N/A

2.399710

2.414905

2.738317

2.768120

N/A

3.310064

3.33611

3.488536

3.560204

N/A

2.453432

2.48113

2.725103

2.805069

N/A

3.418468

3.430743

3.548691

3.593645

N/A

2.528314

2.550211

2.732163

2.793134

N/A

3.553209

3.566502

3.604319

3.670657

N/A

2.611308

2.636769

2.723500

2.802106

0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

3.244825

3.259229

3.460362

3.507471

N/A

2.399588

2.428672

2.721740

2.779017

N/A

3.326252

3.354776

3.495306

3.554798

N/A

2.465507

2.500740

2.728309

2.803503

N/A

3.422633

3.43176

3.575695

3.627435

N/A

2.530439

2.54816

2.758226

2.819402

N/A

3.546281

3.563459

3.631831

3.681626

N/A

2.607774

2.635383

2.750430

2.800921

0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

3.250787

3.280845

3.450879

3.512181

N/A

2.403782

2.444396

2.710523

2.777651

N/A

3.346172

3.341598

3.505097

3.544039

N/A

2.477368

2.486364

2.731947

2.787914

N/A

3.447617

3.438260

3.585112

3.644604

N/A

2.550183

2.557878

2.761068

2.829573

N/A

3.555696

3.557280

3.645190

3.682221

N/A

2.614251

2.633103

2.756749

2.806372

0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

3.262315

3.295988

3.474000

3.502802

N/A

2.406743

2.454660

2.721437

2.764816

N/A

3.333332

3.366857

3.526608

3.565433

N/A

2.467128

2.513706

2.747001

2.797299

N/A

3.456961

3.475588

3.588376

3.622213

N/A

2.556855

2.583734

2.761531

2.814620

N/A

3.559891

3.587850

3.656173

3.693817

N/A

2.624751

2.657633

2.761867

2.812096

0.99

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

3.286196

3.284000

3.476431

3.530036

N/A

2.432307

2.441861

2.720465

2.784255

N/A

3.344424

3.371049

3.515471

3.583805

N/A

2.473893

2.512374

2.733234

2.809573

N/A

3.445813

3.476678

3.581961

3.646085

N/A

2.550056

2.594105

2.751931

2.829619

N/A

3.580162

3.582766

3.643776

3.726193

N/A

2.636090

2.657574

2.754464

2.840205