T = 256

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

12.292872

9.940012

9.860353

9.879126

9.872221

9.019249

7.615291

7.473166

7.456796

7.397829

12.328465

9.695786

9.645700

9.615907

9.693887

8.583864

7.151369

7.013643

6.996396

6.985854

11.88425

10.003641

9.984819

10.060146

10.175596

9.30928

7.811151

7.776508

7.804474

7.888045

14.38993

11.401214

11.433606

11.712333

11.771431

12.04130

9.578301

9.600694

9.807139

9.858685

−0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

4.675627

4.751472

4.575137

4.618396

4.526623

3.433047

3.753760

3.503607

3.533003

3.390034

4.591227

4.601855

4.451270

4.506708

4.438774

3.294811

3.563108

3.330402

3.375573

3.251366

4.834659

4.676203

4.558022

4.647846

4.627821

3.684773

3.631709

3.496429

3.573142

3.530552

5.489967

5.166012

5.160168

5.216748

5.220785

4.457119

4.171296

4.168281

4.211559

4.218392

−0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

3.122088

3.504443

3.260930

3.275876

3.152633

2.313956

2.878414

2.575507

2.585727

2.410320

3.083480

3.359757

3.162962

3.191852

3.084599

2.249458

2.713640

2.451965

2.476510

2.322219

3.197895

3.315275

3.202590

3.228760

3.178185

2.428867

2.621622

2.483038

2.507757

2.438380

3.603086

3.570148

3.535835

3.571913

3.540043

2.879401

2.859518

2.829658

2.857418

2.829462

−0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

2.477548

3.006656

2.727614

2.734891

2.574753

1.852433

2.517774

2.198541

2.202784

2.002080

2.451333

2.848012

2.619965

2.644389

2.515712

1.812685

2.350770

2.076338

2.098645

1.929908

2.543358

2.767444

2.616711

2.656329

2.570926

1.936024

2.215490

2.048485

2.083624

1.985405

2.841108

2.872582

2.821017

2.849932

2.823762

2.255355

2.290326

2.246513

2.268526

2.245788

−0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

2.125443

2.739682

2.425755

2.440397

2.250814

1.598810

2.311585

1.978843

1.988378

1.769048

2.107579

2.575504

2.326747

2.347586

2.200609

1.573870

2.146472

1.866837

1.886717

1.708180

2.17960

2.449498

2.296983

2.328026

2.227605

1.66439

1.975380

1.809410

1.838238

1.728900

2.414951

2.481309

2.419762

2.457924

2.411302

1.907861

1.969979

1.918207

1.948747

1.908411

0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

2.236399

2.627007

2.452804

2.501397

2.357946

1.754781

2.120110

1.957960

2.007570

1.871715

2.299736

2.599947

2.461771

2.504288

2.388347

1.814077

2.083388

1.957306

2.000493

1.895858

2.379149

2.588574

2.486751

2.509820

2.437277

1.884599

2.062693

1.973808

1.997461

1.934261

2.487192

2.620266

2.548413

2.550920

2.507633

1.974898

2.084377

2.023260

2.026514

1.990963

0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

2.531841

2.894148

2.732076

2.772147

2.638373

1.992353

2.332085

2.181343

2.222319

2.096798

2.608348

2.884802

2.756491

2.787752

2.683887

2.064005

2.310809

2.196467

2.229991

2.135190

2.703969

2.903956

2.801762

2.816011

2.747752

2.151654

2.318829

2.231792

2.246924

2.188503

2.828153

2.952580

2.880183

2.886455

2.846163

2.254426

2.357421

2.296912

2.303569

2.270006

0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

3.052437

3.363117

3.218510

3.237278

3.121272

2.409829

2.704008

2.569185

2.594169

2.483805

3.142645

3.380101

3.262358

3.282231

3.182059

2.499225

2.710087

2.605622

2.629490

2.539302

3.270464

3.438881

3.345030

3.341460

3.284477

2.616470

2.756910

2.676726

2.679199

2.628086

3.437442

3.522892

3.468972

3.445365

3.406939

2.760244

2.827787

2.781787

2.764382

2.732175

0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

4.365492

4.461304

4.344079

4.299452

4.174909

3.471970

3.588159

3.482217

3.450690

3.334882

4.480920

4.523729

4.421030

4.383871

4.293484

3.607913

3.646270

3.556775

3.527764

3.447778

4.766742

4.664817

4.553524

4.515636

4.448287

3.856211

3.771176

3.676655

3.648935

3.593866

4.938933

4.839329

4.746046

4.716871

4.653130

4.029858

3.923619

3.847426

3.821928

3.768907

0.99

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

11.981223

8.696257

8.479994

8.475901

8.230192

9.694264

7.160028

6.960884

6.963413

6.741359

13.79347

8.932930

8.680591

8.714584

8.491010

11.11085

7.420823

7.202460

7.230251

7.038407

14.74004

9.202919

9.164582

9.034855

8.825268

11.94566

7.715310

7.676524

7.575599

7.392270

13.85595

9.746341

9.602264

9.403324

9.410795

11.80282

8.217796

8.101851

7.920777

7.930210