Judgmental Selection of Forecasting Models

Petropoulos, Fotios and Kourentzes, Nikolaos and Nikolopoulos, Konstantinos and Siemsen, Enno (2018) Judgmental Selection of Forecasting Models. Journal of Operations Management, 60. pp. 34-46. ISSN 0272-6963

[img]
Preview
PDF (Petropoulos 2018 judgmental-selection-forecasting)
Petropoulos_2018_judgmental_selection_forecasting.pdf - Accepted Version
Available under License Creative Commons Attribution-NonCommercial-NoDerivs.

Download (960kB)
[img]
Preview
PDF (Petropoulos 2018 Judgmental selection of forecasting models)
Petropoulos_2018_Judgmental_selection_of_forecasting_models.pdf - Published Version
Available under License Creative Commons Attribution.

Download (1MB)

Abstract

In this paper, we explored how judgment can be used to improve the selection of a forecasting model. We compared the performance of judgmental model selection against a standard algorithm based on information criteria. We also examined the efficacy of a judgmental model-build approach, in which experts were asked to decide on the existence of the structural components (trend and seasonality) of the time series instead of directly selecting a model from a choice set. Our behavioral study used data from almost 700 participants, including forecasting practitioners. The results from our experiment suggest that selecting models judgmentally results in performance that is on par, if not better, to that of algorithmic selection. Further, judgmental model selection helps to avoid the worst models more frequently compared to algorithmic selection. Finally, a simple combination of the statistical and judgmental selections and judgmental aggregation significantly outperform both statistical and judgmental selections.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Operations Management
Additional Information:
This is the author’s version of a work that was accepted for publication in Journal of Operations Management. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Operations Management, 60, 2018 DOI: 10.1016/J.JOM.2018.05.005
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1700/1706
Subjects:
ID Code:
125430
Deposited By:
Deposited On:
23 May 2018 13:08
Refereed?:
Yes
Published?:
Published
Last Modified:
20 Sep 2020 04:50