T = 256

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

18.3946

14.94425

14.93444

15.29943

15.75648

15.5924

12.65669

12.61939

12.92135

13.35916

21.83711

17.02494

17.12534

17.63730

18.86639

18.14790

14.13990

14.20582

14.67914

15.78272

22.48374

18.60022

18.58637

19.77131

21.39742

18.61547

15.24951

15.23903

16.28300

17.71476

23.81353

19.65943

19.80157

20.94188

23.07249

19.54287

15.97972

16.07496

17.13175

18.94071

25.60013

20.42148

20.56437

22.33767

23.92799

20.73679

16.47341

16.61588

18.19815

19.57384

12.494381

10.43906

10.410406

10.345147

10.310096

9.859542

8.36823

8.307123

8.217326

8.163652

−0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

7.218011

6.568200

6.584163

6.682222

6.740172

5.847984

5.334939

5.345821

5.425272

5.474502

8.030496

7.544869

7.562459

7.657178

7.748135

6.467167

6.031629

6.046505

6.127892

6.206417

8.668218

8.240385

8.245682

8.348658

8.464405

6.894023

6.509597

6.517682

6.612652

6.702423

9.425220

8.704961

8.757776

8.874156

8.933227

7.393212

6.810649

6.858725

6.963380

7.017628

9.495944

9.101330

9.114170

9.160590

9.299936

7.448484

7.074803

7.095599

7.142968

7.267197

4.879222

5.004025

4.806489

4.848034

4.760293

3.746798

4.017078

3.783952

3.810604

3.695640

−0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

4.548186

4.410247

4.435212

4.458940

4.474700

3.661812

3.547042

3.567766

3.587023

3.599732

5.163005

5.058111

5.061483

5.064372

5.095676

4.096899

4.006136

4.014110

4.019333

4.041589

5.594353

5.510708

5.506703

5.502904

5.521115

4.395694

4.313132

4.315287

4.316899

4.331711

5.886288

5.879078

5.805862

5.807830

5.821811

4.588031

4.561168

4.508307

4.515899

4.532842

6.081617

6.107963

6.060609

6.046962

6.033776

4.714155

4.706490

4.674692

4.674377

4.668946

3.237686

3.715527

3.435002

3.432424

3.280912

2.479712

3.061258

2.751851

2.744897

2.568950

−0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

3.532991

3.472187

3.471253

3.479885

3.479531

2.825013

2.780203

2.777734

2.783814

2.783306

3.980707

3.960429

3.949921

3.952865

3.938482

3.147731

3.127099

3.118628

3.125543

3.113071

4.293063

4.33727

4.298323

4.273287

4.267845

3.358355

3.38154

3.355954

3.341796

3.337840

4.518400

4.606734

4.534228

4.518117

4.485010

3.511168

3.559702

3.508752

3.506743

3.482246

4.665189

4.835993

4.746031

4.692695

4.659591

3.608272

3.709757

3.650103

3.619978

3.600075

2.555692

3.192449

2.867236

2.866857

2.675640

1.959345

2.670262

2.330504

2.324536

2.113137

−0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

2.959363

2.915832

2.927606

2.934119

2.927636

2.355357

2.324298

2.333337

2.337806

2.332091

3.315679

3.324198

3.315964

3.294327

3.283496

2.612983

2.618957

2.612976

2.598272

2.589628

3.549758

3.647952

3.588153

3.573094

3.538577

2.772218

2.840735

2.796431

2.791090

2.764798

3.723084

3.890746

3.805687

3.760643

3.717292

2.890167

3.001934

2.940283

2.914655

2.883763

3.843216

4.088640

3.972382

3.905587

3.861316

2.970263

3.130138

3.050013

3.009587

2.980157

2.187576

2.912264

2.559063

2.553443

2.338844

1.678448

2.452986

2.097676

2.088967

1.859071

0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

2.614347

2.63402

2.618972

2.613630

2.602326

2.076150

2.09031

2.078547

2.076179

2.066396

2.656520

2.704446

2.685015

2.660450

2.647095

2.108033

2.146521

2.131414

2.112121

2.101200

2.658939

2.778743

2.741461

2.701794

2.669346

2.110030

2.205361

2.175220

2.144857

2.118583

2.661154

2.864080

2.788580

2.727534

2.677478

2.110605

2.274006

2.214311

2.165545

2.125707

2.648299

2.926658

2.831567

2.748650

2.682583

2.101099

2.327225

2.248978

2.183494

2.129126

2.187649

2.673885

2.462357

2.507330

2.338754

1.707408

2.177531

1.976192

2.024276

1.858694

0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

2.985969

2.999132

2.989405

2.968755

2.967988

2.382029

2.391651

2.384937

2.368240

2.367233

3.040012

3.063929

3.059359

3.027330

3.018417

2.423935

2.441990

2.437300

2.413446

2.407020

3.052704

3.142888

3.105940

3.069040

3.043088

2.432808

2.505482

2.474625

2.447164

2.426606

3.044404

3.211648

3.149707

3.087766

3.047539

2.426454

2.560161

2.509996

2.462067

2.428791

3.033946

3.264053

3.185160

3.106623

3.046364

2.416937

2.603258

2.539604

2.476152

2.428108

2.475642

2.918393

2.730449

2.761086

2.609852

1.934533

2.367700

2.186375

2.223583

2.072087

0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

3.629798

3.628762

3.615355

3.587281

3.575208

2.914350

2.911740

2.900748

2.877089

2.867450

3.704747

3.699430

3.683542

3.654505

3.649041

2.972385

2.965376

2.952034

2.931531

2.926987

3.731578

3.777637

3.730334

3.695062

3.669746

2.992888

3.026668

2.987159

2.961888

2.942000

3.732779

3.816494

3.769586

3.703219

3.666429

2.994493

3.055784

3.018176

2.968410

2.937888

3.718436

3.854139

3.786167

3.726128

3.671358

2.980110

3.086413

3.033074

2.985445

2.942870

2.966899

3.361970

3.191064

3.208336

3.068512

2.322628

2.712292

2.548203

2.574259

2.434251

0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

5.266993

5.024042

4.997996

4.938789

4.924007

4.302841

4.073294

4.053201

4.002242

3.991693

5.487562

5.120990

5.058593

5.039830

5.038282

4.486147

4.146785

4.096847

4.080811

4.080998

5.480728

5.206815

5.140416

5.093600

5.062517

4.463227

4.217585

4.158530

4.125176

4.097951

5.480620

5.226842

5.165222

5.106001

5.071595

4.472432

4.226614

4.177438

4.131230

4.103822

5.466501

5.239742

5.170006

5.111003

5.061422

4.457976

4.238858

4.182593

4.134270

4.096623

4.208272

4.396909

4.260906

4.232342

4.111348

3.309781

3.533885

3.401164

3.382767

3.264995

0.99

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

16.98542

10.494091

10.468188

10.330308

10.268248

14.00534

8.872857

8.845084

8.736298

8.669719

16.40047

10.972920

10.748771

10.57758

10.813341

13.88880

9.271226

9.082232

8.92490

9.149265

17.23174

10.87925

10.889833

10.892671

10.958242

14.39398

9.16902

9.186896

9.194885

9.258199

16.69765

11.09565

11.053729

10.884812

10.983971

14.07403

9.36795

9.332792

9.173668

9.275027

18.86656

11.057284

10.999373

10.957336

11.094677

15.41792

9.322178

9.285424

9.247863

9.373178

11.683464

8.447998

8.310040

8.20648

8.106103

9.167292

6.877789

6.747735

6.64717

6.538399