Integration of Statistical Methods and Judgment for Time Series
J. Armstrong () and
Additional contact information
Fred Collopy: Case Western Reserve University
General Economics and Teaching from University Library of Munich, Germany
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.
Keywords: statistical methods; statistics; time series; forecasting; empirical research (search for similar items in EconPapers)
JEL-codes: A (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets
Note: Type of Document - pdf; pages: 33
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (7) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpgt:0412024
Access Statistics for this paper
More papers in General Economics and Teaching from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ().