Table 4 One-step ahead forecasting with... | Emerald Publishing

Table 4

One-step ahead forecasting with 84-months window length

	Benchmark: AR(1)		Benchmark: random walk
	$OO R_{MSPE}^{2}$ (%)	$OO R_{MAPE}^{2}$ (%)	$OO R_{MSPE}^{2}$ (%)	$OO R_{MAPE}^{2}$ (%)
PLS	−22.974	−10.787	33.741	13.774
PCR	−4.050	−1.456	43.563	20.344
LASSO	−14.081	−1.571	38.104	20.160
ALASSO	−118.084	−11.665	−18.330	12.216
EN	−27.984	−5.176	30.560	17.322
Q-LASSO	1.723	1.716	46.682	22.766
Q-ALASSO	−173.785	−15.314	−48.556	9.359
Q-EN	1.773	2.320	46.709	23.242
Mean	−12.608	−2.530	38.926	19.533
Median	0.066	1.206	45.783	22.365
T-Mean	−7.030	−1.166	41.933	20.505

	Benchmark: AR(1)		Benchmark: random walk
	$OO R_{MSPE}^{2}$ (%)	$OO R_{MAPE}^{2}$ (%)	$OO R_{MSPE}^{2}$ (%)	$OO R_{MAPE}^{2}$ (%)
PLS	−22.974	−10.787	33.741	13.774
PCR	−4.050	−1.456	43.563	20.344
LASSO	−14.081	−1.571	38.104	20.160
ALASSO	−118.084	−11.665	−18.330	12.216
EN	−27.984	−5.176	30.560	17.322
Q-LASSO	1.723	1.716	46.682	22.766
Q-ALASSO	−173.785	−15.314	−48.556	9.359
Q-EN	1.773	2.320	46.709	23.242
Mean	−12.608	−2.530	38.926	19.533
Median	0.066	1.206	45.783	22.365
T-Mean	−7.030	−1.166	41.933	20.505

Note(s): See Table 2

Source(s): Authors’ own work