Table 7 DM and HLN test results for each... | Emerald Publishing

Table 7

DM and HLN test results for each model

Proposed method vs	DM test		HLN test
Proposed method vs	test statistic	p-value	test statistic	p-value
ARIMAX (1,1,1)	−3.84	0.0004**	−3.80	0.0005**
Holdout (24 features)	−3.92	0.0003**	−3.87	0.0004**
Holdout (6 features)	−1.88	0.0672*	−1.86	0.0703*

Proposed method vs	DM test		HLN test
Proposed method vs	test statistic	p-value	test statistic	p-value
ARIMAX (1,1,1)	−3.84	0.0004**	−3.80	0.0005**
Holdout (24 features)	−3.92	0.0003**	−3.87	0.0004**
Holdout (6 features)	−1.88	0.0672*	−1.86	0.0703*

Note(s): * if p-value<0.01, we conclude there is a significant difference between the two forecasts at the 99% confidence level

** if p-value<0.10, we conclude there is a significant difference between the two forecasts at the 90% confidence level

Source(s): Authors