Table 9 Clark and west (C-W) test... | Emerald Publishing

Table 9

Clark and west (C-W) 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	4.3683***	4.9262***	5.3549***	5.3549***	5.7201***	6.1368***	6.6833***	6.6843***
Consumer discretionary	6.8740***	7.0426***	6.9095***	6.9099***	7.1576***	7.1757***	6.9297***	6.9291***
Consumer staple	6.3566***	6.2277***	6.2767***	6.2766***	6.6701***	6.4626***	6.3399***	6.3400***
Energy	2.1845***	2.4563***	2.6994***	2.6990***	2.5631***	2.7194***	2.9027***	2.9031***
Financial	2.5396***	2.5933***	2.6910***	2.6900***	2.1179***	2.2544***	2.3427***	2.3422***
Health care	8.7418***	8.8416***	9.4602***	9.4672***	8.2500***	8.7819***	9.4170***	9.4177***
Industrial	6.8169***	6.8304***	6.4603***	6.4660***	6.5769***	6.5172***	6.3781***	6.3780***
Information technology	8.4641***	8.6477***	8.8420***	8.8421***	8.3975***	8.5585***	8.6006***	8.6002***
Material	6.0182***	6.0046***	5.9545***	5.9546***	6.1734***	6.5100***	6.4132***	6.1734***
Real estate	11.5255**	11.9817***	12.1692***	12.1697***	11.5939***	11.9398***	12.0947***	2.0945***
Utility	1.0592	1.0581	1.0595	1.0758	0.4050	0.4058	0.4835	0.4857

	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	4.3683***	4.9262***	5.3549***	5.3549***	5.7201***	6.1368***	6.6833***	6.6843***
Consumer discretionary	6.8740***	7.0426***	6.9095***	6.9099***	7.1576***	7.1757***	6.9297***	6.9291***
Consumer staple	6.3566***	6.2277***	6.2767***	6.2766***	6.6701***	6.4626***	6.3399***	6.3400***
Energy	2.1845***	2.4563***	2.6994***	2.6990***	2.5631***	2.7194***	2.9027***	2.9031***
Financial	2.5396***	2.5933***	2.6910***	2.6900***	2.1179***	2.2544***	2.3427***	2.3422***
Health care	8.7418***	8.8416***	9.4602***	9.4672***	8.2500***	8.7819***	9.4170***	9.4177***
Industrial	6.8169***	6.8304***	6.4603***	6.4660***	6.5769***	6.5172***	6.3781***	6.3780***
Information technology	8.4641***	8.6477***	8.8420***	8.8421***	8.3975***	8.5585***	8.6006***	8.6002***
Material	6.0182***	6.0046***	5.9545***	5.9546***	6.1734***	6.5100***	6.4132***	6.1734***
Real estate	11.5255**	11.9817***	12.1692***	12.1697***	11.5939***	11.9398***	12.0947***	2.0945***
Utility	1.0592	1.0581	1.0595	1.0758	0.4050	0.4058	0.4835	0.4857

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