T = 128

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

11.945267

9.179577

9.037003

8.707451

8.462042

8.861576

7.320466

7.133194

6.855307

6.577923

12.795160

8.819682

8.697249

8.478398

8.258024

8.681859

6.748474

6.544172

6.397376

6.126412

11.85843

8.942636

8.979889

8.752523

8.563999

9.25846

7.083999

7.091445

6.889068

6.706095

13.42278

10.185347

10.180364

9.9200541

9.799041

11.42555

8.754547

8.740516

8.442729

8.330114

−0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

5.015870

4.836986

4.653996

4.726680

4.575834

3.725254

3.953661

3.708048

3.790807

3.568500

5.203213

4.644456

4.471611

4.585791

4.471021

3.696729

3.728887

3.492956

3.614554

3.415283

5.426878

4.642191

4.550617

4.633726

4.567308

4.146475

3.679435

3.572558

3.660861

3.573860

6.062297

5.055933

5.019349

5.112308

5.125466

4.980789

4.151075

4.122661

4.202335

4.213588

−0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

3.264372

3.714970

3.458167

3.551787

3.306702

2.433065

3.118219

2.836522

2.938455

2.644407

3.348979

3.504954

3.298093

3.400993

3.221331

2.426611

2.898950

2.657997

2.777254

2.533225

3.336172

3.379134

3.262088

3.369001

3.249320

2.564084

2.701847

2.578714

2.689641

2.549904

3.771946

3.563928

3.496387

3.597387

3.544725

3.064766

2.875681

2.821228

2.904003

2.859338

−0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

2.567553

3.244740

2.972959

3.075161

2.801145

1.921773

2.745461

2.470611

2.582631

2.275310

2.541639

3.016541

2.809365

2.920878

2.706614

1.883283

2.519631

2.294248

2.421964

2.165321

2.626303

2.848164

2.728691

2.838472

2.700311

2.007082

2.288249

2.166030

2.285118

2.127450

3.018725

2.915867

2.853590

2.933008

2.886501

2.408264

2.326463

2.277067

2.345572

2.303731

−0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

2.196236

2.973229

2.696030

2.819576

2.523249

1.646146

2.513734

2.249508

2.381977

2.066675

2.183864

2.747384

2.541589

2.659572

2.427958

1.622701

2.294729

2.084607

2.219254

1.958831

2.265826

2.547671

2.420984

2.549656

2.394875

1.723982

2.048411

1.922024

2.059531

1.891775

2.503623

2.548932

2.472584

2.567721

2.501872

1.975381

2.015365

1.952281

2.034474

1.978518

0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

2.269407

2.752129

2.597009

2.658591

2.504221

1.772237

2.217063

2.073938

2.142858

1.997949

2.338102

2.764549

2.631648

2.638225

2.514020

1.835759

2.221370

2.096248

2.111596

1.997147

2.422130

2.787988

2.669347

2.644182

2.546331

1.909445

2.232614

2.122810

2.103946

2.017356

2.532666

2.803706

2.700260

2.688484

2.600767

2.001992

2.237125

2.143836

2.131183

2.058269

0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

2.567649

3.021006

2.880938

2.89842

2.760013

2.018788

2.436361

2.306900

2.33901

2.208032

2.644502

3.053786

2.925930

2.905182

2.787058

2.093358

2.459015

2.342555

2.331787

2.224654

2.742656

3.094658

2.979290

2.928327

2.830560

2.183696

2.490691

2.385108

2.340648

2.258261

2.870326

3.127300

3.042191

2.992054

2.914858

2.291302

2.512577

2.435299

2.389238

2.326037

0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

3.137792

3.486373

3.363206

3.327585

3.200512

2.487511

2.818011

2.705538

2.691013

2.571322

3.191229

3.553037

3.421814

3.357432

3.239301

2.554643

2.873810

2.758570

2.706657

2.602163

3.344238

3.626711

3.502733

3.427382

3.324481

2.700335

2.938518

2.828356

2.764448

2.672839

3.564692

3.692615

3.596625

3.530147

3.441597

2.890408

2.991344

2.910104

2.848907

2.771189

0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

4.920988

4.595254

4.424569

4.343997

4.223473

3.944748

3.750031

3.596945

3.540982

3.429542

4.990236

4.668532

4.565638

4.421092

4.331716

4.055321

3.825789

3.732137

3.612574

3.532617

5.399281

4.792548

4.682770

4.482806

4.414773

4.430346

3.941870

3.845421

3.669919

3.608953

5.950925

4.948153

4.869442

4.728360

4.636423

4.832073

4.085370

4.013891

3.885237

3.809460

0.99

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

11.455568

7.426306

7.434341

7.384678

7.364817

9.209777

6.151560

6.160498

6.145512

6.124219

11.893301

7.688341

7.577398

7.656384

7.471577

9.775085

6.443587

6.343787

6.421955

6.273514

13.54296

7.999046

8.036029

7.786935

7.717748

11.18886

6.774294

6.824181

6.602134

6.542996

13.50771

8.478266

8.367662

8.226474

8.117583

11.46993

7.229107

7.135695

7.007422

6.914989