Table 6 Campbell–thompson (C-T) test...

Table 6

Campbell–thompson (C-T) test results for in-sample and out-of-sample forecasts: ADL-MIDAS with 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	0.6678	0.7145	0.7337	0.8248	0.6224	0.6735	0.6952	0.7995
Consumer discretionary	0.5232	0.5205	0.4693	0.4902	0.5699	0.5512	0.4926	0.5125
Consumer staple	0.6291	0.6029	0.5790	0.6416	0.6318	0.5893	0.5250	0.5956
Energy	0.0366	0.0402	0.1477	0.1128	0.0881	0.0890	0.1900	0.1569
Financial	0.0852	0.0773	0.1091	0.1216	0.0932	0.0984	0.1050	0.1176
Health care	0.7336	0.7419	0.7537	0.7590	0.7487	0.7462	0.7569	0.7621
Industrial	0.5061	0.4924	0.3874	0.3829	0.5584	0.5385	0.4327	0.4285
Information technology	0.7759	0.7754	0.7504	0.7901	0.7749	0.7756	0.7589	0.7972
Material	0.4217	0.4185	0.4020	0.5288	0.4773	0.4664	0.4291	0.5501
Real estate	0.9903	0.9911	0.9920	0.9924	0.9901	0.9902	0.9913	0.9918
Utility	−2.6369	−2.1915	−2.2121	−2.1011	−1.7606	−1.4225	−1.6233	−1.3344

	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	0.6678	0.7145	0.7337	0.8248	0.6224	0.6735	0.6952	0.7995
Consumer discretionary	0.5232	0.5205	0.4693	0.4902	0.5699	0.5512	0.4926	0.5125
Consumer staple	0.6291	0.6029	0.5790	0.6416	0.6318	0.5893	0.5250	0.5956
Energy	0.0366	0.0402	0.1477	0.1128	0.0881	0.0890	0.1900	0.1569
Financial	0.0852	0.0773	0.1091	0.1216	0.0932	0.0984	0.1050	0.1176
Health care	0.7336	0.7419	0.7537	0.7590	0.7487	0.7462	0.7569	0.7621
Industrial	0.5061	0.4924	0.3874	0.3829	0.5584	0.5385	0.4327	0.4285
Information technology	0.7759	0.7754	0.7504	0.7901	0.7749	0.7756	0.7589	0.7972
Material	0.4217	0.4185	0.4020	0.5288	0.4773	0.4664	0.4291	0.5501
Real estate	0.9903	0.9911	0.9920	0.9924	0.9901	0.9902	0.9913	0.9918
Utility	−2.6369	−2.1915	−2.2121	−2.1011	−1.7606	−1.4225	−1.6233	−1.3344

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

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