Table 11 Clark and West t -test...

Table 11

Clark and West t-test statistics for comparing in-sample and out-of-sample forecasting performance of the linear and nonlinear models

	CW statistic for models using market-based inflation expectations		CW statistic for models using survey-based inflation expectations
	In-sample performance	Out-of-sample performance	In-sample performance	Out-of-sample performance
GBPCAD	3.03387487**	3.39208724**	4.58454583**	3.38925156**
GBPAUD	10.6863519**	3.49883333**	10.5228289**	9.98319246**
GBPNZD	11.6279898**	12.2931721**	2.81195405**	11.4778461**
GBPSEK	4.13871062**	16.3711914**	3.8333045**	13.0607168**
CADAUD	2.44888098**	15.4383316**	3.39201903**	21.2617149**
CADNZD	2.90834757**	5.36748511**	2.71442531**	5.88069641**
CADSEK	5.50953645**	2.63149382**	5.44269445**	1.79559331**
AUDNZD	42.7264363**	48.4560815**	3.48202603**	35.0526318**
AUDSEK	2.49953189**	4.98907343**	2.49985165**	5.45426571**
NZDSEK	4.04552116**	26.2182514**	3.99499817**	31.502991**

	CW statistic for models using market-based inflation expectations		CW statistic for models using survey-based inflation expectations
	In-sample performance	Out-of-sample performance	In-sample performance	Out-of-sample performance
GBPCAD	3.03387487**	3.39208724**	4.58454583**	3.38925156**
GBPAUD	10.6863519**	3.49883333**	10.5228289**	9.98319246**
GBPNZD	11.6279898**	12.2931721**	2.81195405**	11.4778461**
GBPSEK	4.13871062**	16.3711914**	3.8333045**	13.0607168**
CADAUD	2.44888098**	15.4383316**	3.39201903**	21.2617149**
CADNZD	2.90834757**	5.36748511**	2.71442531**	5.88069641**
CADSEK	5.50953645**	2.63149382**	5.44269445**	1.79559331**
AUDNZD	42.7264363**	48.4560815**	3.48202603**	35.0526318**
AUDSEK	2.49953189**	4.98907343**	2.49985165**	5.45426571**
NZDSEK	4.04552116**	26.2182514**	3.99499817**	31.502991**

Note(s): **indicates significance at normal critical value of 5%: 1.645

CW = Clark and West test statistic for comparing the MSPE of the NARDL model with the MSPE of the linear ARDL model

t-Test hypotheses

$H_{0} : M S P E_{A R D L} = M S P E_{N A R D L}$

$H_{1} : M S P E_{A R D L} > M S P E_{N A R D L}$

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