Forecasting Randomly Distributed Zero-Inflated Time Series

Doszyń Mariusz ()
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Doszyń Mariusz: University of Szczecin Faculty of Economics and Management Institute of Econometrics and Statistics Mickiewicza 64, 71-101 Szczecin, Poland

Folia Oeconomica Stetinensia, 2017, vol. 17, issue 1, 7-19

Abstract: The main aim of the article is to propose a forecasting procedure that could be useful in the case of randomly distributed zero-inflated time series. Many economic time series are randomly distributed, so it is not possible to estimate any kind of statistical or econometric models such as, for example, count data regression models. This is why in the article a new forecasting procedure based on the stochastic simulation is proposed. Before it is used, the randomness of the times series should be considered. The hypothesis stating the randomness of the times series with regard to both sales sequences or sales levels is verified. Moreover, in the article the ex post forecast error that could be computed also for a zero-inflated time series is proposed. All of the above mentioned parts were invented by the author. In the empirical example, the described procedure was applied to forecast the sales of products in a company located in the vicinity of Szczecin (Poland), so real data were analysed. The accuracy of the forecast was verified as well.

Keywords: forecasting zero-inflated time series; count data models; sales forecasting system; stochastic simulation; Bernoulli processes (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:foeste:v:17:y:2017:i:1:p:7-19:n:1

DOI: 10.1515/foli-2017-0001

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