Table 8 Clark and west (C-W) test... | Emerald Publishing

Table 8

Clark and west (C-W) 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	3.0164***	2.1952***	0.8963	0.8960	0.5772	1.1790	1.2969*	1.2969*
Consumer discretionary	5.1115***	4.7343***	4.9786***	4.9788***	4.8856***	4.9463***	5.0533***	5.0535***
Consumer staple	2.5733***	2.6224***	2.8472***	2.8470***	3.7651***	3.8112***	4.0871***	4.0870***
Energy	1.4398*	1.4679*	2.0515***	2.0510***	2.3858***	2.3127***	2.4776***	2.4779***
Financial	2.5275***	2.5854***	2.6853***	2.6851***	2.2205***	2.2916***	2.3367***	2.3360***
Health care	4.0604***	4.2328***	4.2486***	4.2485***	3.6853***	2.1996***	2.1136***	2.1140***
Industrial	4.1417***	3.4894***	3.5091***	3.5090***	4.0298***	3.4823***	3.9224***	3.9222***
Information technology	8.1263***	7.8829***	7.7260***	7.7270***	5.3707***	5.0284***	4.4867***	4.4865***
Material	3.5664***	3.5731***	3.6343***	3.6342***	5.0079***	4.9753***	5.0397***	5.0335***
Real estate	10.6043***	11.0586***	11.2924***	11.2921***	10.5536***	11.0143***	11.3121***	11.3123***
Utility	0.9924	0.9612	0.9791	0.8761	0.8935	0.8270	0.9360	0.8893

	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	3.0164***	2.1952***	0.8963	0.8960	0.5772	1.1790	1.2969*	1.2969*
Consumer discretionary	5.1115***	4.7343***	4.9786***	4.9788***	4.8856***	4.9463***	5.0533***	5.0535***
Consumer staple	2.5733***	2.6224***	2.8472***	2.8470***	3.7651***	3.8112***	4.0871***	4.0870***
Energy	1.4398*	1.4679*	2.0515***	2.0510***	2.3858***	2.3127***	2.4776***	2.4779***
Financial	2.5275***	2.5854***	2.6853***	2.6851***	2.2205***	2.2916***	2.3367***	2.3360***
Health care	4.0604***	4.2328***	4.2486***	4.2485***	3.6853***	2.1996***	2.1136***	2.1140***
Industrial	4.1417***	3.4894***	3.5091***	3.5090***	4.0298***	3.4823***	3.9224***	3.9222***
Information technology	8.1263***	7.8829***	7.7260***	7.7270***	5.3707***	5.0284***	4.4867***	4.4865***
Material	3.5664***	3.5731***	3.6343***	3.6342***	5.0079***	4.9753***	5.0397***	5.0335***
Real estate	10.6043***	11.0586***	11.2924***	11.2921***	10.5536***	11.0143***	11.3121***	11.3123***
Utility	0.9924	0.9612	0.9791	0.8761	0.8935	0.8270	0.9360	0.8893

Note(s): The C-W test t-statistic is based on the critical values of 1.28, 1.64, and 2.00 for 10%, 5 and 1% levels of significance, respectively