Integration of Statistical Methods and Judgment for Time Series
We consider how judgment and statistical methods should be integrated for time-series forecasting. Our review of published empirical research identified 47 studies, all but four published since 1985. Five procedures were identified: revising judgment; combining forecasts; revising extrapolations; rule-based forecasting; and econometric forecasting. This literature suggests that integration generally improves accuracy when the experts have domain knowledge and when significant trends are involved. Integration is valuable to the extent that judgments are used as inputs to the statistical methods, that they contain additional relevant information, and that the integration scheme is well structured. The choice of an integration approach can have a substantial impact on the accuracy of the resulting forecasts. Integration harms accuracy when judgment is biased or its use is unstructured. Equal-weights combining should be regarded as the benchmark and it is especially appropriate where series have high uncertainty or high instability. When the historical data involve high uncertainty or high instability, we recommend revising judgment, revising extrapolations, or combining. When good domain knowledge is available for the future as well as for the past, we recommend rule- based forecasting or econometric methods.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Willemain, Thomas R., 1989. "Graphical adjustment of statistical forecasts," International Journal of Forecasting, Elsevier, vol. 5(2), pages 179-185.
- JS Armstrong & Fred Collopy, 2004. "Causal Forces: Structuring Knowledge for Time-series Extrapolation," General Economics and Teaching 0412003, EconWPA.
- Davis, Fred D. & Lohse, Gerald L. & Kottemann, Jeffrey E., 1994. "Harmful effects of seemingly helpful information on forecasts of stock earnings," Journal of Economic Psychology, Elsevier, vol. 15(2), pages 253-267, June.
- Fred Collopy & J. Scott Armstrong, 1992.
"Rule-Based Forecasting: Development and Validation of an Expert Systems Approach to Combining Time Series Extrapolations,"
INFORMS, vol. 38(10), pages 1394-1414, October.
- Fred Collopy & JS Armstrong, 2004. "Rule-Based Forecasting: Development and Validation of an Expert Systems Approach to Combining Time Series Extrapolations," General Economics and Teaching 0412004, EconWPA.
- Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583.
- Goodwin, Paul & Wright, George, 1993. "Improving judgmental time series forecasting: A review of the guidance provided by research," International Journal of Forecasting, Elsevier, vol. 9(2), pages 147-161, August.
- Bretschneider, Stuart I. & Gorr, Wilpen L. & Grizzle, Gloria & Klay, Earle, 1989. "Political and organizational influences on the accuracy of forecasting state government revenues," International Journal of Forecasting, Elsevier, vol. 5(3), pages 307-319.
- Yokuma, J. Thomas & Armstrong, J. Scott, 1995. "Beyond accuracy: Comparison of criteria used to select forecasting methods," International Journal of Forecasting, Elsevier, vol. 11(4), pages 591-597, December.
- Robert C. Blattberg & Stephen J. Hoch, 1990. "Database Models and Managerial Intuition: 50% Model + 50% Manager," Management Science, INFORMS, vol. 36(8), pages 887-899, August.
- Vokurka, Robert J. & Flores, Benito E. & Pearce, Stephen L., 1996. "Automatic feature identification and graphical support in rule-based forecasting: a comparison," International Journal of Forecasting, Elsevier, vol. 12(4), pages 495-512, December.
- Collopy, Fred & Armstrong, J. Scott, 1992. "Expert opinions about extrapolation and the mystery of the overlooked discontinuities," International Journal of Forecasting, Elsevier, vol. 8(4), pages 575-582, December.
- Sanders, NR, 1992. "Accuracy of judgmental forecasts: A comparison," Omega, Elsevier, vol. 20(3), pages 353-364, May.
- JS Armstrong, 2004. "Relative Accuracy of Judgmental and Extrapolative Methods in Forecasting Annual Earnings," General Economics and Teaching 0412007, EconWPA.
- George Duncan & Wilpen Gorr & Janusz Szczypula, 1993. "Bayesian Forecasting for Seemingly Unrelated Time Series: Application to Local Government Revenue Forecasting," Management Science, INFORMS, vol. 39(3), pages 275-293, March.
- Flores, Benito E. & Olson, David L. & Wolfe, Christopher, 1992. "Judgmental adjustment of forecasts: A comparison of methods," International Journal of Forecasting, Elsevier, vol. 7(4), pages 421-433, March.
- Goodwin, P., 1996. "Statistical correction of judgmental point forecasts and decisions," Omega, Elsevier, vol. 24(5), pages 551-559, October.
- MacGregor, Donald & Lichtenstein, Sarah & Slovic, Paul, 1988. "Structuring knowledge retrieval: An analysis of decomposed quantitative judgments," Organizational Behavior and Human Decision Processes, Elsevier, vol. 42(3), pages 303-323, December.
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpgt:0412024. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA)
If references are entirely missing, you can add them using this form.