T = 128

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)

5

5

5

5

5

5

5

5

5

5

5

5

BVAR1

4

4

4

4

3

3

3

3

3

3

4

4

BVAR2

3

3

3

3

2

2

1

1

1

1

3

3

BVAR3

2

2

1

1

1

1

2

2

2

2

2

2

BVAR4

1

1

2

2

4

4

4

4

4

4

1

1

−0.95

VAR(2)

5

5

5

5

5

5

5

5

5

5

5

4

BVAR1

1

2

1

2

1

1

1

1

1

1

4

5

BVAR2

2

1

2

1

2

2

2

2

3

2

2

2

BVAR3

3

3

3

3

3

3

3

3

2

3

3

3

BVAR4

4

4

4

4

4

4

4

4

4

4

1

1

−0.9

VAR(2)

5

5

5

5

5

5

5

5

5

5

1

1

BVAR1

2

2

1

1

4

2

4

4

4

4

5

5

BVAR2

1

1

2

2

1

1

3

3

3

3

3

3

BVAR3

3

3

4

3

3

3

2

2

2

2

4

4

BVAR4

4

4

3

4

2

4

1

1

1

1

2

2

−0.85

VAR(2)

5

5

5

5

5

5

4

5

3

4

1

1

BVAR1

1

1

2

2

4

4

5

4

5

5

5

5

BVAR2

2

2

4

3

3

3

3

3

4

3

3

3

BVAR3

3

3

3

4

2

2

2

2

2

2

4

4

BVAR4

4

4

1

1

1

1

1

1

1

1

2

2