Judgmental Selection of Forecasting Models

Research output: Contribution to journalArticle

Electronic versions

Documents

DOI

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

  • Model selection, Behavioral operations, Decomposition, Combination
Original languageEnglish
JournalJournal of Operations Management
Early online date18 Jun 2018
DOIs
Publication statusPublished - 2018

Total downloads

No data available
View graph of relations