Table 5 Campbell–thompson (C-T) test...

Table 5

Campbell–thompson (C-T) test results for in-sample and out-of-sample forecasts: ADL-MIDAS without green innovation versus AR benchmark

	ADL-MIDAS (PCR) vs AR				ADL-MIDAS (TCR) vs AR
	In-sample	Out-of-sample			In-sample	Out-of-sample
	In-sample	h = 4	h = 8	h = 12	In-sample	h = 4	h = 8	h = 12
Communication service	0.1004	0.0516	−0.0074	0.3372	0.0005	0.0236	0.0262	0.3594
Consumer discretionary	0.2454	0.2023	0.1917	0.2235	0.3663	0.3566	0.3499	0.3754
Consumer staple	−0.0514	−0.0454	0.0038	0.1518	0.1327	0.1323	0.1514	0.2775
Energy	0.0096	0.0087	0.0929	0.0559	0.0765	0.0677	0.1357	0.1004
Financial	0.0848	0.0771	0.1091	0.1216	0.1017	0.1020	0.1026	0.1152
Health care	0.0738	0.0906	0.0890	0.1085	0.1753	0.0428	0.0307	0.0514
Industrial	0.1370	0.0779	0.1504	0.1442	0.1771	0.1147	0.1645	0.1584
Information technology	0.3322	0.3186	0.2863	0.3998	0.1844	0.1511	0.2092	0.3350
Material	0.1265	0.0982	0.0901	0.2830	0.2543	0.2262	0.2240	0.3885
Real estate	0.9793	0.9797	0.9816	0.9826	0.9754	0.9761	0.9787	0.9799
Utility	−4.8012	−4.0907	−3.8912	−3.6522	0.1121	0.1013	0.2213	0.2220

	ADL-MIDAS (PCR) vs AR				ADL-MIDAS (TCR) vs AR
	In-sample	Out-of-sample			In-sample	Out-of-sample
	In-sample	h = 4	h = 8	h = 12	In-sample	h = 4	h = 8	h = 12
Communication service	0.1004	0.0516	−0.0074	0.3372	0.0005	0.0236	0.0262	0.3594
Consumer discretionary	0.2454	0.2023	0.1917	0.2235	0.3663	0.3566	0.3499	0.3754
Consumer staple	−0.0514	−0.0454	0.0038	0.1518	0.1327	0.1323	0.1514	0.2775
Energy	0.0096	0.0087	0.0929	0.0559	0.0765	0.0677	0.1357	0.1004
Financial	0.0848	0.0771	0.1091	0.1216	0.1017	0.1020	0.1026	0.1152
Health care	0.0738	0.0906	0.0890	0.1085	0.1753	0.0428	0.0307	0.0514
Industrial	0.1370	0.0779	0.1504	0.1442	0.1771	0.1147	0.1645	0.1584
Information technology	0.3322	0.3186	0.2863	0.3998	0.1844	0.1511	0.2092	0.3350
Material	0.1265	0.0982	0.0901	0.2830	0.2543	0.2262	0.2240	0.3885
Real estate	0.9793	0.9797	0.9816	0.9826	0.9754	0.9761	0.9787	0.9799
Utility	−4.8012	−4.0907	−3.8912	−3.6522	0.1121	0.1013	0.2213	0.2220

Note(s): The C–T test results are based on the forecast performance comparison of the ADL-MIDAS-based predictive model as against the AR process. Hypothetically, a positive C-T statistic or value implies that the ADL-MIDAS based predictive model outperforms the AR process and the reverse holds if the statistic is negative

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