Research Article
Selecting Single Model in Combination Forecasting Based on Cointegration Test and Encompassing Test
Table 4
Unit root test on fitting data of 12 single forecasts.
| Test sample | ADF statistics | 1% critical value | IS stable | ADF statistics after first difference | 1% critical value | IS stable after first difference | Result |
| Forecast sample | 2.66 | −3.59 | No | −5.03 | −3.60 | Yes | | Naive | −6.02 | −3.60 | Yes |
— | — | — | | SINGLE | −6.02 | −3.60 | Yes | — | — | — | | Holts | 1.65 | −3.60 | No | −7.53 | −3.59 | Yes | | DAMPEN | 0.15 | −3.60 | No | −16.02 | −3.61 | Yes | | WINTE | 4.20 | −3.59 | No | −15.31 | −3.61 | Yes | | THETA | 5.12 | −3.59 | No | −9.01 | −3.60 | Yes | | ARIMA | 3.31 | −3.60 | No | −7.59 | −3.59 | Yes | | ARARMA | 2.08 | −3.60 | No | −11.4 | −3.60 | Yes | | Auto-ANN | 10.8 | −3.61 | No | 1.55 | −3.59 | No | or more | NARX | 5.21 | −3.60 | No | −19.74 | −3.60 | Yes | | GM(1, 1) | 3.11 | −3.59 | No | −12.56 | −3.59 | Yes | | SVM | 4.10 |
−3.60 | No | −4.21 | −3.60 | Yes | |
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