T = 32

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

8.183544

6.255208

6.225226

6.319025

6.127081

6.409968

5.232098

5.205574

5.269976

5.083030

8.171164

5.954346

5.883918

5.972126

5.832870

5.886140

4.687005

4.642069

4.828020

4.702794

13.761278

6.061907

5.971372

5.912063

5.782263

8.646975

4.846714

4.783738

4.753435

4.637809

9.660148

6.838000

6.707916

6.602793

6.419753

8.225798

6.038562

5.924713

5.748045

5.570510

−0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

5.419512

4.278932

4.210253

4.467069

4.400286

4.117640

3.470092

3.421989

3.733129

3.670985

5.410199

4.144168

4.077051

4.256684

4.199415

3.927946

3.266110

3.225904

3.515731

3.458578

5.650153

4.191661

4.094175

4.196531

4.165205

4.293156

3.340760

3.269946

3.405027

3.382798

6.297137

4.561301

4.505046

4.544496

4.442278

5.262456

3.850747

3.817464

3.832547

3.746108

−0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

4.156610

3.435454

3.399575

3.682001

3.621324

3.094199

2.741574

2.721451

3.079270

3.027212

3.896820

3.401299

3.320739

3.530001

3.467940

2.847562

2.662821

2.612250

2.911328

2.857803

4.261132

3.458562

3.366029

3.458037

3.393824

3.219722

2.727781

2.656156

2.778508

2.726651

4.677126

3.701453

3.609712

3.661370

3.570615

3.795311

3.041555

2.961387

2.989493

2.915543

−0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

3.135666

3.062404

3.017451

3.306289

3.241433

2.338310

2.414592

2.389854

2.750929

2.694858

3.172442

3.010045

2.962397

3.172644

3.096611

2.309062

2.341620

2.308213

2.599510

2.534366

3.577560

3.091658

3.001191

3.127430

3.030196

2.635234

2.417700

2.337642

2.485342

2.404734

3.660426

3.258536

3.174013

3.231151

3.153569

2.926463

2.618544

2.543425

2.572105

2.509348

−0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

2.784587

2.814113

2.765962

3.085280

3.020429

2.049203

2.201595

2.171642

2.549175

2.492657

2.813672

2.794123

2.746840

2.967020

2.893054

2.019906

2.158500

2.124867

2.412485

2.342757

2.869672

2.852458

2.776470

2.916558

2.828328

2.139474

2.207132

2.142921

2.295532

2.216337

3.106624

2.995363

2.918323

2.985039

2.901840

2.427903

2.368584

2.295031

2.333521

2.259205

0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

2.842527

3.025476

3.029957

3.132378

2.999509

2.152664

2.440972

2.451758

2.549708

2.414277

2.810912

3.090351

3.089930

3.178715

3.056396

2.169077

2.500016

2.505098

2.583167

2.455273

2.952656

3.150829

3.150130

3.216895

3.107721

2.290625

2.548073

2.554562

2.601105

2.487607

3.307669

3.246468

3.226010

3.200862

3.133152

2.547600

2.615978

2.599928

2.555826

2.484048

0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

3.331595

3.252981

3.249162

3.304187

3.196640

2.580975

2.642329

2.644656

2.702467

2.590177

3.793309

3.321229

3.314847

3.351939

3.247441

2.842995

2.710138

2.705682

2.740538

2.631263

3.717028

3.38536

3.408850

3.403712

3.310554

2.929144

2.76281

2.789758

2.774270

2.676317

3.807675

3.508926

3.490607

3.407476

3.338701

3.040937

2.858963

2.846291

2.748869

2.681568

0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

4.293119

3.572668

3.556106

3.563569

3.450073

3.336612

2.915571

2.910716

2.925840

2.813604

4.519025

3.636147

3.615754

3.606210

3.531307

3.574176

2.983366

2.975477

2.962859

2.885237

4.776709

3.758688

3.723412

3.672251

3.610613

3.802752

3.096874

3.070471

3.014741

2.949436

5.144674

3.870640

3.847066

3.737134

3.687554

4.141709

3.185365

3.171730

3.062082

3.008539

0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

5.994791

3.986404

3.967685

3.945150

3.856760

4.662920

3.262290

3.252945

3.251867

3.163625

6.393341

4.055031

4.054657

4.019074

3.967639

5.021365

3.335684

3.352590

3.325958

3.273244

6.471447

4.227944

4.208908

4.100253

4.062039

5.281929

3.503378

3.497806

3.403174

3.362454

7.911398

4.403969

4.414250

4.217873

4.158784

6.255814

3.662445

3.682337

3.500569

3.443901

0.99

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

7.98958

4.505180

4.503203

4.491434

4.443043

6.14510

3.695378

3.711759

3.720080

3.678880

8.463565

4.632210

4.631356

4.494059

4.505566

6.573965

3.841432

3.848661

3.736156

3.751414

10.269673

4.758618

4.781808

4.678435

4.594163

7.868398

3.972241

4.003160

3.922521

3.840406

10.538601

4.987143

4.985718

4.869713

4.812612

8.359982

4.177887

4.189164

4.101869

4.041900