Research Article
Selecting Single Model in Combination Forecasting Based on Cointegration Test and Encompassing Test
Table 5
ADF test on residuals of 9 single forecasts’ fitting sample.
| The single forecast model residual sequence | ADF statistics | 1% critical value | IS stable |
IS cointegrated with sample series |
| Holts | −5.47 | −4.21 | Yes | Yes | DAMPEN | −2.56 | −4.20 | No | No | WINTER | −7.12 | −4.22 | Yes | Yes | THETA | −7.33 | −4.21 | Yes | Yes | ARIMA | −9.35 | −4.23 | Yes | Yes | ARARMA | −12.38 | −4.22 | Yes | Yes | NARX | −15.21 | −4.23 | Yes | Yes | GM(1, 1) | 1.21 | −4.22 | No | No | SVM | −4.89 | −4.21 | Yes | Yes |
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