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 statistics1% critical valueIS stable IS cointegrated with sample series

Holts −5.47−4.21YesYes
DAMPEN −2.56−4.20NoNo
WINTER −7.12−4.22YesYes
THETA −7.33−4.21YesYes
ARIMA−9.35−4.23YesYes
ARARMA−12.38−4.22YesYes
NARX −15.21−4.23YesYes
GM(1, 1) 1.21−4.22NoNo
SVM −4.89−4.21YesYes