Table 7 Campbell–thompson (C-T) test...

Table 7

Campbell–thompson (C-T) test results for in-sample and out-of-sample forecasts: unrestricted ADL-MIDAS versus restricted ADL-MIDAS

	ADL-MIDAS (PCR + GREEN) vs ADL-MIDAS (PCR)				ADL-MIDAS (TCR + GREEN) vs ADL-MIDAS (TCR)
	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	0.6307	0.6990	0.7357	0.8566	0.6676	0.7076	0.7266	0.7211
Consumer discretionary	0.3682	0.3989	0.3434	0.3841	0.2476	0.2547	0.1837	0.1772
Consumer staple	0.6473	0.6202	0.5774	0.5447	0.5724	0.5423	0.5039	0.4193
Energy	0.0274	0.0317	0.0603	0.0603	−0.0429	−0.0294	0.0138	0.2421
Financial	0.0004	0.0002	−0.0001	−0.0005	−0.0183	−0.0275	0.0072	0.0075
Health care	0.7123	0.7161	0.7296	0.7113	0.6769	0.7303	0.7459	0.7687
Industrial	0.4278	0.4495	0.2789	0.2869	0.3998	0.4267	0.2667	0.2512
Information technology	0.6645	0.6704	0.6502	0.6502	0.7253	0.7355	0.6843	0.6324
Material	0.3379	0.3552	0.3428	0.3410	0.2244	0.2485	0.2294	0.2156
Real estate	0.5339	0.5651	0.5673	0.5671	0.6081	0.6306	0.6250	0.6050
Utility	0.3730	0.3710	0.3731	0.3706	0.5334	0.5331	0.3553	0.3555

	ADL-MIDAS (PCR + GREEN) vs ADL-MIDAS (PCR)				ADL-MIDAS (TCR + GREEN) vs ADL-MIDAS (TCR)
	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	0.6307	0.6990	0.7357	0.8566	0.6676	0.7076	0.7266	0.7211
Consumer discretionary	0.3682	0.3989	0.3434	0.3841	0.2476	0.2547	0.1837	0.1772
Consumer staple	0.6473	0.6202	0.5774	0.5447	0.5724	0.5423	0.5039	0.4193
Energy	0.0274	0.0317	0.0603	0.0603	−0.0429	−0.0294	0.0138	0.2421
Financial	0.0004	0.0002	−0.0001	−0.0005	−0.0183	−0.0275	0.0072	0.0075
Health care	0.7123	0.7161	0.7296	0.7113	0.6769	0.7303	0.7459	0.7687
Industrial	0.4278	0.4495	0.2789	0.2869	0.3998	0.4267	0.2667	0.2512
Information technology	0.6645	0.6704	0.6502	0.6502	0.7253	0.7355	0.6843	0.6324
Material	0.3379	0.3552	0.3428	0.3410	0.2244	0.2485	0.2294	0.2156
Real estate	0.5339	0.5651	0.5673	0.5671	0.6081	0.6306	0.6250	0.6050
Utility	0.3730	0.3710	0.3731	0.3706	0.5334	0.5331	0.3553	0.3555

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 restricted ADL-MIDAS-based predictive model. Hypothetically, a positive C-T statistic or value implies that the unrestricted ADL-MIDAS based predictive model outperforms the restricted ADL-MIDAS-based predictive model and the reverse holds if the statistic is negative

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