Research Article
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) |
| | -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 | |
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*MacKinnon (1996) one-sided values.
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(b) |
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Augmented Dickey-Fuller test equation | |
Dependent variable: | |
Method: least squares | |
Date: 09/25/13, time: 00:18 | |
Sample (adjusted): 1990Q3 2000Q4 | |
Included observations: 42 after adjustments | |
| Variable | Coefficient | Std. error | -statistic | Prob. |
| | −0.822358 | 0.163652 | −5.025046 | 0.0000 | | 66.08964 | 24.93664 | 2.650303 | 0.0115 |
| -squared | 0.386983 | Mean dependent var. | 10.07143 | Adjusted -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 | -statistic | 25.25109 | Durbin-Watson stat. | 2.023140 | Prob. (-statistic) | 0.000011 | | | |
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