T = 8

RANK 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

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

3

1

2

4

−0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

1

2

N/A

2

1

3

4

−0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

3

4

2

1

N/A

3

4

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

2

1

3

4

N/A

1

2

3

4

−0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

3

4

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

1

2

3

4

N/A

1

2

3

4

−0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

3

4

1

2

N/A

3

4

1

2

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

1

2

3

4

N/A

1

2

3

4

0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

1

3

2

4

N/A

1

2

3

4

N/A

3

4

1

2

N/A

2

4

1

3

N/A

4

3

2

1

N/A

3

4

2

1

N/A

3

4

2

1

N/A

3

4

2

1

N/A

4

3

2

1

N/A

3

4

1

2

N/A

1

2

3

4

N/A

1

2

3

4

0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

3

2

1

4

N/A

1

2

3

4

N/A

3

4

1

2

N/A

3

4

1

2

N/A

4

3

2

1

N/A

3

4

2

1

N/A

4

3

2

1

N/A

3

4

1

2

N/A

3

4

1

2

N/A

2

4

1

3

N/A

1

2

3

4

N/A

1

2

3

4

0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

1

2

3

4

N/A

1

2

3

4

N/A

3

4

2

1

N/A

2

4

3

1

N/A

4

3

2

1

N/A

4

3

2

1

N/A

3

4

2

1

N/A

3

4

2

1

N/A

3

4

2

1

N/A

3

4

1

2

N/A

1

2

3

4

N/A

1

2

3

4

0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

2

3

1

4

N/A

1

2

3

4

N/A

4

3

1

2

N/A

4

2

1

3

N/A

3

4

2

1

N/A

3

4

2

1

N/A

3

4

2

1

N/A

3

4

2

1

N/A

3

4

2

1

N/A

3

4

2

1

N/A

1

2

3

4

N/A

1

2

3

4

0.99

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

N/A

1

3

2

4

N/A

1

2

3

4

N/A

4

3

2

1

N/A

4

3

1

2

N/A

4

3

2

1

N/A

3

4

1

2

N/A

4

3

2

1

N/A

2

4

1

3

N/A

3

4

2

1

N/A

3

4

2

1

N/A

1

2

3

4

N/A

1

2

3

4