| T = 32 |
| 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 | 14.66326 8.868865 8.784330 8.384759 8.074158 | 12.02723 7.985698 7.892726 7.436469 7.105130 | 14.49286 10.102584 10.158533 9.541767 8.988559 | 12.43827 8.909668 8.929935 8.280112 7.738964 | 16.99112 11.231955 10.985347 10.144903 9.631319 | 14.07718 9.719722 9.457289 8.641844 8.138354 | 16.69649 11.92844 11.71362 10.671738 9.936045 | 13.97181 10.17850 9.93686 8.963683 8.274346 | 17.92657 12.40430 11.95375 11.066390 10.374309 | 14.74797 10.45598 10.00748 9.201769 8.564269 | 9.116383 6.826402 6.760333 6.793669 6.590898 | 7.499980 5.942840 5.873528 5.796042 5.585019 |
| −0.95 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | 7.961468 5.665201 5.541683 5.46905 5.421003 | 6.722484 4.906067 4.792473 4.72311 4.674783 | 9.565847 6.354424 6.310088 6.183366 6.145703 | 7.915558 5.432254 5.371322 5.277268 5.225297 | 10.085588 6.891470 6.866607 6.669163 6.712264 | 8.349892 5.789703 5.750905 5.596393 5.627363 | 10.48444 7.365829 7.319716 7.157648 7.065304 | 8.62861 6.097293 6.049675 5.938573 5.851712 | 10.641119 7.715081 7.653206 7.464696 7.335338 | 8.743647 6.318872 6.261866 6.126180 6.017297 | 5.733142 4.471984 4.451677 4.725151 4.644578 | 4.571978 3.718808 3.698245 3.960498 3.891115 |
| −0.9 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | 5.841933 4.322259 4.241650 4.176008 4.162391 | 4.849300 3.621030 3.547739 3.489640 3.486574 | 6.46564 4.754169 4.715024 4.608181 4.596080 | 5.31107 3.949948 3.908967 3.837052 3.822992 | 7.004660 5.150787 5.130988 4.987416 4.983092 | 5.702322 4.227924 4.197488 4.102516 4.096438 | 7.361425 5.500133 5.450288 5.294466 5.279011 | 5.974679 4.458332 4.405916 4.306556 4.294784 | 7.928795 5.802533 5.746614 5.550953 5.533153 | 6.366810 4.658706 4.603175 4.473654 4.462557 | 4.045249 3.578792 3.536624 3.858831 3.833990 | 3.175013 2.909100 2.878184 3.225961 3.203973 |
| −0.85 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | 4.721373 3.712822 3.628486 3.552807 3.543409 | 3.824896 3.034552 2.960760 2.890184 2.891573 | 4.919008 4.028760 3.969323 3.823768 3.814055 | 4.011737 3.276196 3.220633 3.111200 3.105385 | 5.380163 4.305397 4.293373 4.136698 4.123026 | 4.337040 3.472099 3.452355 3.342128 3.331461 | 5.722676 4.600571 4.606864 4.384609 4.399845 | 4.590195 3.672320 3.673849 3.510920 3.526143 | 5.810400 4.885385 4.845367 4.621882 4.616055 | 4.656082 3.869882 3.836360 3.663847 3.664718 | 3.366717 3.132456 3.095521 3.464844 3.408097 | 2.590805 2.511884 2.490810 2.886642 2.840940 |
| −0.8 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | 3.808556 3.305102 3.243816 3.186754 3.150463 | 3.052834 2.644278 2.584761 2.529159 2.501813 | 4.239043 3.562016 3.528487 3.380490 3.365043 | 3.368964 2.845597 2.806951 2.696674 2.685716 | 4.291196 3.823200 3.812184 3.632793 3.625036 | 3.438790 3.035168 3.021101 2.886910 2.881452 | 4.549485 4.069328 4.060453 3.869228 3.831084 | 3.624453 3.210558 3.201939 3.052689 3.025776 | 5.149671 4.345022 4.315298 4.069984 4.016312 | 3.989592 3.415132 3.390845 3.189529 3.149059 | 2.831364 2.864495 2.856141 3.217359 3.152122 | 2.138279 2.272026 2.274289 2.665676 2.608140 |
| 0.8 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | 3.732897 3.313597 3.266739 3.087334 3.023425 | 2.842723 2.633425 2.590845 2.404135 2.342413 | 3.49767 3.316029 3.283241 3.037585 2.993906 | 2.71882 2.614770 2.584817 2.353041 2.306430 | 3.530011 3.353025 3.298040 3.043436 2.995605 | 2.742267 2.652087 2.598611 2.357823 2.311568 | 3.443827 3.380967 3.364418 3.066925 3.017887 | 2.693251 2.684577 2.672576 2.389038 2.340079 | 3.734037 3.465971 3.443605 3.092260 3.023834 | 2.855492 2.777635 2.759310 2.417901 2.353389 | 2.715320 2.984894 2.987995 3.089470 2.949539 | 2.054366 2.399354 2.407203 2.515941 2.376680 |
| 0.85 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | 3.986471 3.607701 3.562427 3.333652 3.293919 | 3.192565 2.910104 2.865036 2.646939 2.604514 | 4.249872 3.625257 3.575762 3.324058 3.248592 | 3.362915 2.904919 2.866121 2.624462 2.550524 | 4.253023 3.638141 3.595043 3.330410 3.253474 | 3.344118 2.918589 2.876212 2.631034 2.559676 | 4.463272 3.698064 3.630191 3.326336 3.294338 | 3.502106 2.978903 2.922750 2.630352 2.600510 | 4.314869 3.742047 3.726171 3.344339 3.273909 | 3.431765 3.034855 3.022565 2.654069 2.589784 | 3.159290 3.172923 3.192029 3.25450 3.141835 | 2.420794 2.562054 2.582575 2.65923 2.544247 |
| 0.9 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | 7.341626 4.019399 3.995822 3.759712 3.683127 | 5.356272 3.284759 3.273663 3.049572 2.972334 | 5.689411 4.059390 4.016448 3.733388 3.683439 | 4.555991 3.308286 3.273467 3.012368 2.964628 | 5.555286 4.078738 4.060717 3.742516 3.674642 | 4.492584 3.327450 3.312161 3.023017 2.956385 | 5.899174 4.120367 4.089725 3.750787 3.685515 | 4.724377 3.374136 3.347477 3.028037 2.964958 | 5.607266 4.173862 4.111696 3.756089 3.690723 | 4.499744 3.428979 3.376803 3.037540 2.976093 | 4.056663 3.484817 3.497303 3.504424 3.415987 | 3.135429 2.824452 2.838614 2.871266 2.782976 |
| 0.95 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | 8.145542 4.641040 4.607863 4.354838 4.251027 | 6.570007 3.847504 3.826239 3.605449 3.504735 | 9.508336 4.723674 4.687587 4.375087 4.311251 | 7.313701 3.913560 3.886086 3.609372 3.547510 | 9.459770 4.778199 4.721712 4.448615 4.337292 | 7.365879 3.961433 3.922829 3.677085 3.572457 | 8.430181 4.808107 4.781962 4.379007 4.373170 | 6.769306 3.997918 3.987344 3.607476 3.603382 | 8.532818 4.862071 4.807260 4.466676 4.444653 | 6.899061 4.066127 4.024241 3.694930 3.672500 | 6.454197 3.910754 3.920832 3.905550 3.816804 | 4.744584 3.172627 3.188766 3.204876 3.122586 |
| 0.99 | VAR(2) BVAR1 BVAR2 BVAR3 BVAR4 | 9.910239 5.273782 5.263627 5.008186 5.015417 | 8.108691 4.418413 4.428455 4.212243 4.223160 | 10.231123 5.380396 5.375204 5.127955 5.058428 | 8.329465 4.505540 4.520336 4.304945 4.244019 | 12.840126 5.444321 5.469501 5.109050 5.084977 | 9.674357 4.564565 4.609911 4.278658 4.264155 | 11.277482 5.516622 5.551135 5.172752 5.202984 | 8.859553 4.648955 4.699438 4.340818 4.367991 | 11.194561 5.600328 5.608524 5.181618 5.241316 | 8.953436 4.735702 4.757579 4.347265 4.412264 | 8.788139 4.428247 4.475890 4.395432 4.337231 | 6.385497 3.595652 3.659284 3.616917 3.569237 |