T = 64

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

10.41419

7.879778

7.866083

7.669444

7.227625

7.75547

6.447886

6.442775

6.277168

5.847979

10.087394

7.559675

7.433292

7.286438

6.965772

7.099848

5.890353

5.760846

5.767222

5.417850

10.491135

7.554888

7.528471

7.346953

7.136368

8.167993

6.048543

6.008551

5.870459

5.663818

11.88104

8.649083

8.578764

8.202491

7.996016

10.17857

7.578297

7.519786

7.093822

6.881898

−0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

5.515226

4.601067

4.534269

4.801356

4.591103

4.120926

3.744133

3.680055

4.000953

3.756402

5.486319

4.406236

4.345974

4.594733

4.433209

3.962742

3.518880

3.456424

3.780083

3.571501

5.676161

4.421690

4.354782

4.522771

4.439083

4.412665

3.527713

3.474134

3.662970

3.568040

6.800705

4.840530

4.791665

4.890993

4.873218

5.622775

4.044271

4.017778

4.091825

4.083426

−0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

3.826275

3.534278

3.465804

3.808458

3.579565

2.825683

2.906586

2.838998

3.229122

2.983339

3.808973

3.362479

3.308653

3.605108

3.411765

2.734953

2.709000

2.659251

3.020947

2.807640

3.694262

3.335914

3.264809

3.471339

3.372967

2.865819

2.639133

2.583192

2.819498

2.712851

4.277465

3.602621

3.528374

3.608456

3.556532

3.498500

2.929623

2.874659

2.940455

2.899122

−0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

2.786939

3.047345

2.980301

3.362504

3.131269

2.092726

2.501938

2.440607

2.860345

2.626230

2.927670

2.899607

2.818605

3.170085

2.977860

2.123987

2.334643

2.261592

2.667629

2.465824

2.956185

2.865764

2.773553

3.001249

2.878135

2.255688

2.254033

2.177460

2.431842

2.308610

3.292199

3.033291

2.940077

3.047829

2.974949

2.634300

2.420453

2.346569

2.436188

2.380450

−0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

2.563719

2.765201

2.701178

3.123461

2.882840

1.866971

2.260260

2.205068

2.647115

2.416694

2.413336

2.637194

2.557811

2.927014

2.728992

1.770143

2.115751

2.044494

2.453578

2.256397

2.460161

2.596897

2.500364

2.737009

2.609029

1.865071

2.031406

1.948117

2.209300

2.081249

2.765376

2.705866

2.619745

2.722047

2.642185

2.174472

2.129469

2.055440

2.143268

2.077236

0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

2.384340

2.926542

2.850652

2.82495

2.69156

1.847579

2.373617

2.299951

2.27897

2.14932

2.456279

2.971888

2.891917

2.836890

2.710707

1.916364

2.414482

2.335971

2.277432

2.157766

2.559812

3.021903

2.958457

2.897326

2.764935

2.006761

2.452398

2.388264

2.317965

2.193781

2.676730

3.027127

2.972621

2.914402

2.809153

2.104725

2.440837

2.387389

2.315717

2.217734

0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

2.788461

3.195656

3.126292

3.050595

2.919833

2.171616

2.605438

2.538026

2.468853

2.347208

2.851412

3.243095

3.193553

3.088025

2.969034

2.260241

2.649101

2.599884

2.493688

2.381272

2.911770

3.295623

3.240708

3.163816

3.019581

2.326237

2.693263

2.638987

2.549461

2.417416

3.07246

3.343212

3.297007 3.192363

3.086137

2.46561

2.722561

2.674201

2.564826

2.467136

0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

3.623288

3.649271

3.588610

3.448331

3.326695

2.868317

2.990935

2.934248

2.809900

2.698520

3.527514

3.721894

3.651061

3.519245

3.397685

2.855164

3.065972

2.997455

2.868675

2.755271

4.027746

3.787166

3.720466

3.589405

3.462768

3.218235

3.122032

3.062137

2.927547

2.811275

4.061071

3.897328

3.834919

3.636149

3.565531

3.324801

3.214863

3.157984

2.962102

2.896450

0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

5.815011

4.473675

4.453470

4.244755

4.125876

4.565871

3.688176

3.668865

3.495875

3.388459

6.010590

4.589992

4.534502

4.318832

4.240229

4.823818

3.811018

3.760519

3.569387

3.495942

6.359985

4.720950

4.706124

4.431429

4.372050

5.238172

3.944863

3.929342

3.678013

3.623511

6.385236

4.961381

4.849424

4.601010

4.508561

5.332214

4.157459

4.058908

3.833053

3.744225

0.99

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

10.356067

5.982988

6.004868

5.770993

5.746963

8.039591

4.959825

4.995543

4.806477

4.791406

10.404217

6.135503

6.119139

5.864026

5.811905

8.460912

5.141708

5.145547

4.924136

4.891243

12.255648

6.333499

6.305826

6.158097

6.034546

9.648472

5.366900

5.346008

5.219477

5.108078

11.684346

6.664584

6.678079

6.343388

6.298889

9.806151

5.676046

5.711101

5.409572

5.371982