T = 64

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

15.60961

11.46939

11.33424

10.393633

9.994874

13.49267

10.19435

10.04413

9.075173

8.678252

18.07064

13.09585

12.83739

11.674118

11.452749

15.37213

11.39752

11.13458

9.980774

9.768842

19.71727

14.29593

13.95068

12.70827

12.29447

16.58878

12.23065

11.87831

10.70607

10.35022

21.61992

14.99266

14.40817

13.29599

13.06578

17.76051

12.65584

12.10325

11.07513

10.89042

20.92315

15.31937

14.71918

13.74958

13.69994

17.43460

12.80392

12.21020

11.36994

11.36628

10.504524

8.504290

8.433383

8.130523

7.614861

8.587219

7.257119

7.186270

6.846395

6.378013

−0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

8.383893

6.054704

6.028815

6.101289

6.151252

7.067358

5.130622

5.111177

5.177180

5.217093

9.655344

6.948606

6.880661

6.962924

6.991892

8.010587

5.804250

5.732709

5.820154

5.843543

10.127803

7.593816

7.601027

7.598739

7.541576

8.357616

6.244246

6.241448

6.263761

6.223971

11.106993

8.09136

8.033711

8.115210

8.004034

9.023202

6.57944

6.537276

6.630601

6.538172

11.154161

8.408085

8.406621

8.386429

8.364121

9.007396

6.776973

6.784209

6.791154

6.782812

6.094194

4.895636

4.828257

5.079400

4.893208

4.746929

4.034753

3.977608

4.240575

4.041501

−0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

5.260202

4.310264

4.278509

4.281429

4.302870

4.387309

3.560062

3.540720

3.538884

3.564755

5.813456

4.871217

4.852454

4.860214

4.890745

4.815562

3.976989

3.959338

3.975913

4.004158

6.241283

5.326900

5.315123

5.317118

5.299228

5.116870

4.285672

4.274960

4.297216

4.285557

6.816967

5.673882

5.703989

5.682409

5.632351

5.518313

4.512546

4.540852

4.540495

4.513925

7.185829

6.033064

5.966621

5.892455

5.833117

5.758953

4.754550

4.709866

4.666515

4.643925

3.877919

3.733896

3.678327

4.038027

3.759980

3.010369

3.085129

3.034653

3.412802

3.137605

−0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

4.057297

3.498572

3.469369

3.489324

3.476760

3.317115

2.835034

2.814946

2.835115

2.825088

4.461450

3.897501

3.931286

3.905329

3.902691

3.623774

3.136541

3.160528

3.150414

3.150074

4.969968

4.308327

4.323880

4.257981

4.229035

3.979682

3.425581

3.432997

3.392493

3.374859

5.198608

4.627766

4.606818

4.555086

4.507953

4.123492

3.638906

3.621454

3.597710

3.564845

5.820459

4.907163

4.871123

4.795215

4.714880

4.428792

3.824280

3.800238

3.751707

3.707744

2.855396

3.223494

3.165957

3.580932

3.312065

2.211781

2.661245

2.610390

3.034515

2.777421

−0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

3.277890

3.031720

2.999372

3.029278

3.001746

2.632196

2.415329

2.389678

2.422018

2.399163

3.769544

3.373929

3.391303

3.342599

3.334189

2.988581

2.681704

2.692547

2.662681

2.658396

3.924631

3.716239

3.734031

3.650452

3.625195

3.129050

2.927085

2.940980

2.883028

2.863128

4.060144

4.019306

4.011632

3.910502

3.854035

3.221381

3.140814

3.131288

3.060122

3.023937

4.274940

4.284086

4.238038

4.107552

4.030069

3.380856

3.320737

3.288068

3.188801

3.141156

2.478411

2.922556

2.866138

3.321659

3.041197

1.895043

2.404180

2.354839

2.806316

2.549028

0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

2.810315

2.978927

2.942782

2.807824

2.765080

2.207486

2.364922

2.329299

2.201907

2.166512

2.850188

2.982259

2.946586

2.782325

2.767764

2.241584

2.354772

2.323064

2.176855

2.161917

2.881579

3.079775

3.032298

2.818668

2.786543

2.262786

2.443186

2.399321

2.211739

2.181607

2.890928

3.164619

3.122161

2.849104

2.817992

2.272384

2.525822

2.483368

2.237374

2.208545

2.863114

3.266420

3.210009

2.882040

2.833942

2.248359

2.619893

2.567070

2.268192

2.226876

2.335504

2.900073

2.806345

2.804422

2.658767

1.794989

2.350184

2.259498

2.269090

2.130071

0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

3.289245

3.357904

3.281714

3.122439

3.055098

2.636293

2.704315

2.633135

2.487813

2.426874

3.675594

3.363311

3.309355

3.096772

3.076407

2.862963

2.695690

2.647381

2.461153

2.437918

3.436975

3.424146

3.352500

3.125829

3.096576

2.744711

2.751442

2.688024

2.485300

2.459122

3.379543

3.491139

3.426064

3.152716

3.108977

2.714136

2.814536

2.754646

2.507731

2.469156

3.430162

3.576680

3.501837

3.167574

3.130619

2.746420

2.890728

2.822685

2.519834

2.489803

2.694655

3.155153

3.098410

3.029096

2.892868

2.091958

2.563944

2.506451

2.458432

2.330261

0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

4.303766

3.950114

3.900101

3.645300

3.59670

3.541903

3.233224

3.191164

2.953421

2.91165

4.534682

3.958768

3.893982

3.643486

3.614176

3.732747

3.234213

3.177029

2.949505

2.923150

4.569826

4.011014

3.963059

3.660824

3.619210

3.728954

3.273486

3.229209

2.960681

2.925299

4.579045

4.065105

3.982975

3.699359

3.640562

3.717489

3.323376

3.248075

2.994209

2.939275

4.696541

4.098976

4.031447

3.700648

3.674514

3.817790

3.353858

3.295606

2.997655

2.973086

3.358154

3.623202

3.535024

3.403221

3.282248

2.630087

2.957049

2.876112

2.775237

2.662536

0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

7.399854

5.137436

5.085147

4.763168

4.705414

6.076538

4.298933

4.255915

3.962527

3.908203

7.475618

5.218394

5.110901

4.799530

4.795625

6.243605

4.359780

4.267637

3.980349

3.984978

7.656434

5.265360

5.210220

4.826999

4.792639

6.345574

4.397508

4.357695

4.004062

3.975185

7.420693

5.243674

5.194227

4.895486

4.818079

6.142446

4.381406

4.340276

4.065861

3.992608

7.710607

5.342945

5.233543

4.905022

4.819966

6.315597

4.469960

4.372968

4.075951

3.996624

8.534871

4.439834

4.382403

4.199595

4.125768

5.660741

3.635345

3.585276

3.450845

3.385711

0.99

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

13.94482

7.080895

7.054366

6.834535

6.828429

11.36835

6.054866

6.043512

5.857399

5.847847

13.89216

7.306613

7.290005

7.001530

6.924037

11.37667

6.244493

6.245802

5.976842

5.910194

15.85095

7.432235

7.352421

6.969472

7.111204

12.48919

6.351495

6.297172

5.943162

6.079811

13.09808

7.486951

7.475933

7.058195

7.167811

11.03334

6.404039

6.413686

6.022529

6.121913

14.46850

7.545406

7.590449

7.348942

7.229497

11.91383

6.459999

6.522315

6.290457

6.174797

11.121667

5.855950

5.868612

5.691735

5.638314

8.181236

4.799674

4.826717

4.698703

4.654588