The choice of a forecasting model
AbstractThe major purpose of studies of forecasting accuracy is to help forecasters select the 'best' forecasting method. This paper examines accuracy studies in particular that of Makridakis et al.  with a view to establishing how they contribute to model choice. It is concluded that they affect the screening that most forecasters go through in selecting a range of methods to analyze--in Bayesian terms they are a major determinant of 'prior knowledge'. This general conclusion is illustrated in the specific case of the Makridakis Competition (M-Competition). A survey of expert forecasters was made in both the UK and US. The respondents were asked about their familiarity with eight methods of univariate time series forecasting, and their perceived accuracy in three different forecasting situations. The results, similar for both the UK and US, were that the forecasters were relatively familiar with all the techniques included except Holt-Winters and Bayesian. For short horizons Box-Jenkins was seen as most accurate while trend curves was perceived as most suitable for the long horizons. These results are contrasted with those of the M-Competition, and conclusions drawn on how the results of the M-Competition should influence model screening and model choice.
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Volume (Year): 12 (1984)
Issue (Month): 5 ()
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