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The Accuracy of Combining Judgemental and Statistical Forecasts

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Author Info

  • M. J. Lawrence

    (Department of Information Systems, University of New South Wales, Kensington N.S.W. Australia)

  • R. H. Edmundson

    (Department of Information Systems, University of New South Wales, Kensington N.S.W. Australia)

  • M. J. O'Connor

    (Department of Information Systems, University of New South Wales, Kensington N.S.W. Australia)

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    Abstract

    Judgement based forecasts are widely used in practice either alone or in conjunction with computer prepared forecasts. This study empirically examines the improvement in accuracy which can be gained from combining judgemental forecasts, either with other judgemental or with quantitatively derived forecasts. Two judgemental forecasting approaches are used by each of two different groups in a laboratory setting to give four sets of judgemental forecasts for the 68 monthly time series of the M-competition. These are combined either with each other or with forecasts from deseasonalised single exponential smoothing. Combined forecasts are found to be more accurate than single forecasts with the greatest benefit realised at short forecast horizons and for easier (as opposed to harder) forecast series. Averaging was observed to be a far better way of combining judgemental forecasts than a judgemental, nonsystematic combination.

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    File URL: http://dx.doi.org/10.1287/mnsc.32.12.1521
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    Bibliographic Info

    Article provided by INFORMS in its journal Management Science.

    Volume (Year): 32 (1986)
    Issue (Month): 12 (December)
    Pages: 1521-1532

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    Handle: RePEc:inm:ormnsc:v:32:y:1986:i:12:p:1521-1532

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    Related research

    Keywords: combining forecasts; judgemental forecasting; forecasting accuracy; extrapolation;

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    Cited by:
    1. Leitner, Johannes & Leopold-Wildburger, Ulrike, 2011. "Experiments on forecasting behavior with several sources of information - A review of the literature," European Journal of Operational Research, Elsevier, vol. 213(3), pages 459-469, September.
    2. Rustem, Berc & Becker, Robin G. & Marty, Wolfgang, 2000. "Robust min-max portfolio strategies for rival forecast and risk scenarios," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1591-1621, October.
    3. Gulpinar, Nalan & Rustem, Berc, 2007. "Robust optimal decisions with imprecise forecasts," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3595-3611, April.
    4. Webby, Richard & O'Connor, Marcus, 1996. "Judgemental and statistical time series forecasting: a review of the literature," International Journal of Forecasting, Elsevier, vol. 12(1), pages 91-118, March.
    5. Par Osterholm, 2008. "A structural Bayesian VAR for model-based fan charts," Applied Economics, Taylor & Francis Journals, vol. 40(12), pages 1557-1569.
    6. Seifert, Matthias & Hadida, Allègre L., 2013. "On the relative importance of linear model and human judge(s) in combined forecasting," Organizational Behavior and Human Decision Processes, Elsevier, vol. 120(1), pages 24-36.
    7. Welch, Eric & Bretschneider, Stuart & Rohrbaugh, John, 1998. "Accuracy of judgmental extrapolation of time series data: Characteristics, causes, and remediation strategies for forecasting," International Journal of Forecasting, Elsevier, vol. 14(1), pages 95-110, March.
    8. Pär Österholm, 2006. "Incorporating judgement in fan charts," Finance and Economics Discussion Series 2006-39, Board of Governors of the Federal Reserve System (U.S.).
    9. Goodwin, Paul, 2002. "Integrating management judgment and statistical methods to improve short-term forecasts," Omega, Elsevier, vol. 30(2), pages 127-135, April.
    10. Dewispelare, Aaron R. & Herren, L. Tandy & Clemen, Robert T., 1995. "The use of probability elicitation in the high-level nuclear waste regulation program," International Journal of Forecasting, Elsevier, vol. 11(1), pages 5-24, March.
    11. Lau, Hon-Shiang & Hing-Ling Lau, Amy, 1996. "Estimating the demand distributions of single-period items having frequent stockouts," European Journal of Operational Research, Elsevier, vol. 92(2), pages 254-265, July.
    12. Lim, Joa Sang & O'Connor, Marcus, 1996. "Judgmental forecasting with time series and causal information," International Journal of Forecasting, Elsevier, vol. 12(1), pages 139-153, March.
    13. Goodwin, P., 1996. "Statistical correction of judgmental point forecasts and decisions," Omega, Elsevier, vol. 24(5), pages 551-559, October.

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