Judgmental Selection of Forecasting Models (Reprint)

Fotios Petropoulos (), Nikolaos Kourentzes, Konstantinos Nikolopoulos and Enno Siemsen
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Fotios Petropoulos: University of Bath
Nikolaos Kourentzes: University of Skövde
Konstantinos Nikolopoulos: Durham University Business School
Enno Siemsen: University of Wisconsin

Chapter Chapter 3 in Judgment in Predictive Analytics, 2023, pp 53-84 from Springer

Abstract: 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.

Keywords: Judgmental forecasting; Model selection; Behavioral operations; Decomposition; Combination (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-3-031-30085-1_3

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DOI: 10.1007/978-3-031-30085-1_3

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