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An Empirical Evaluation of Alternative Forecasting Combinations

Author

Listed:
  • Thomas D. Russell

    (Burlington Northern Motor Carriers Inc., Fort Worth, Texas 76102)

  • Everett E. Adam, Jr.

    (College of Business and Public Administration, University of Missouri, Columbia, Missouri 65211)

Abstract

Combining naive forecasting models as an alternative to using any one model has shown promise for improving forecasting accuracy at reasonable additional cost. This study extends previous combination modeling by selectively including models in combination rather than using all individual models in a set, evaluating six new model combinations and comparing them to three previously investigated model combinations, investigating the impact of forecasting time horizon, and investigating alternative error measures to mean square error (MSE). Results support using a model-combination that (1) selects the best 3 to 5 models from the 10 models studied and (2) weights the selected models based upon the inverse proportion of their individual accuracy as measured by MSE.

Suggested Citation

  • Thomas D. Russell & Everett E. Adam, Jr., 1987. "An Empirical Evaluation of Alternative Forecasting Combinations," Management Science, INFORMS, vol. 33(10), pages 1267-1276, October.
    • Handle: RePEc:inm:ormnsc:v:33:y:1987:i:10:p:1267-1276
    DOI: 10.1287/mnsc.33.10.1267
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    Citations

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    Cited by:

    1. Schneider, Carsten & Klapper, Matthias & Wenzel, Thomas, 1999. "An evaluation of forecasting methods and forecast combination methods in goods management systems," Technical Reports 1999,31, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    2. Lessmann, Stefan & Sung, Ming-Chien & Johnson, Johnnie E.V. & Ma, Tiejun, 2012. "A new methodology for generating and combining statistical forecasting models to enhance competitive event prediction," European Journal of Operational Research, Elsevier, vol. 218(1), pages 163-174.
    3. Troschke, Sven-Oliver, 1998. "A selective procedure for combining forecasts," Technical Reports 1998,36, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    4. Wenzel, Thomas, 2000. "Hits-and-misses for the evaluation and combination of forecasts," Technical Reports 2000,26, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    5. Liginlal, Divakaran & Ow, Terence T., 2005. "On policy capturing with fuzzy measures," European Journal of Operational Research, Elsevier, vol. 167(2), pages 461-474, December.
    6. Zhiqiang Zheng & Balaji Padmanabhan, 2007. "Constructing Ensembles from Data Envelopment Analysis," INFORMS Journal on Computing, INFORMS, vol. 19(4), pages 486-496, November.

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