Table 10 Clark and west (C-W) test...

Table 10

Clark and west (C-W) 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	3.8142***	4.4483***	4.7489***	4.7488***	6.3147***	6.7469***	7.2223***	7.2222***
Consumer discretionary	5.9018***	6.2098***	5.8463***	5.8466***	5.2331***	5.2671***	4.4450***	4.4451***
Consumer staple	7.5133***	7.2814***	7.1610***	7.1600***	6.4322***	6.0957***	5.6659***	5.6666***
Energy	2.6904***	2.8920***	3.4603***	3.4600***	2.5657***	2.8600***	3.5096***	3.5559***
Financial	0.6046	0.3236	−0.0092	−0.0096	−0.5847	−0.1211	0.4143	0.4141
Health care	8.7418***	9.1418***	9.7678***	9.7666**	7.4564***	7.0984***	7.6602***	7.6606***
Industrial	6.3940***	6.9216***	4.7852***	4.7855***	6.4201***	7.0203***	5.6753***	5.6757***
Information technology	7.4573***	7.6951***	8.0622***	8.0620***	8.4448***	8.9751***	8.8705***	8.8700***
Material	5.1081***	5.5592***	5.6899***	5.6990***	5.1214***	5.3986***	5.0289***	5.0284***
Real estate	10.0197***	10.5185***	10.8648***	10.8649***	8.2639***	8.6939***	8.7129***	8.7130***
Utility	1.0763	1.0732	1.0735	1.0803	0.3943	0.3937	0.3950	0.3895

	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	3.8142***	4.4483***	4.7489***	4.7488***	6.3147***	6.7469***	7.2223***	7.2222***
Consumer discretionary	5.9018***	6.2098***	5.8463***	5.8466***	5.2331***	5.2671***	4.4450***	4.4451***
Consumer staple	7.5133***	7.2814***	7.1610***	7.1600***	6.4322***	6.0957***	5.6659***	5.6666***
Energy	2.6904***	2.8920***	3.4603***	3.4600***	2.5657***	2.8600***	3.5096***	3.5559***
Financial	0.6046	0.3236	−0.0092	−0.0096	−0.5847	−0.1211	0.4143	0.4141
Health care	8.7418***	9.1418***	9.7678***	9.7666**	7.4564***	7.0984***	7.6602***	7.6606***
Industrial	6.3940***	6.9216***	4.7852***	4.7855***	6.4201***	7.0203***	5.6753***	5.6757***
Information technology	7.4573***	7.6951***	8.0622***	8.0620***	8.4448***	8.9751***	8.8705***	8.8700***
Material	5.1081***	5.5592***	5.6899***	5.6990***	5.1214***	5.3986***	5.0289***	5.0284***
Real estate	10.0197***	10.5185***	10.8648***	10.8649***	8.2639***	8.6939***	8.7129***	8.7130***
Utility	1.0763	1.0732	1.0735	1.0803	0.3943	0.3937	0.3950	0.3895

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

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