Selecting Single Model in Combination Forecasting Based on Cointegration Test and Encompassing Test

Table 3

Unit root test of N999 sample series after first difference.

(a)  

	𝑡-statistic	Prob.*
Augmented Dickey-Fuller test statistic	−5.025046	0.0002
Test critical values: 1% level	−3.596616
5% level	−2.933158
10% level	−2.604867

 *MacKinnon (1996) one-sided 𝑃 values.

(b)  

Augmented Dickey-Fuller test equation
Dependent variable: 𝐷(𝑀,2)
Method: least squares
Date: 09/25/13, time: 00:18
Sample (adjusted): 1990Q3 2000Q4
Included observations: 42 after adjustments
Variable	Coefficient	Std. error	𝑡-statistic	Prob.
𝐷(𝑀(−1))	−0.822358	0.163652	−5.025046	0.0000
𝐶	66.08964	24.93664	2.650303	0.0115
𝑅-squared	0.386983	Mean dependent var.		10.07143
Adjusted 𝑅-squared	0.371658	S.D. dependent var.		182.3687
S.E. of regression	144.5601	Akaike info. criterion		12.83172
Sum squared resid.	835905.0	Schwarz criterion		12.91446
Log likelihood	−267.4660	Hannan-Quinn criter.		12.86205
𝐹-statistic	25.25109	Durbin-Watson stat.		2.023140
Prob. (𝐹-statistic)	0.000011