Management Science Vol. 32 No. 3 1986
Forecasting When Pattern Changes Occur Beyond the Historical Data
Abstract
Forecasting methods currently available assume that established patterns or relationships will not change during the post-sample forecasting phase. This, however, is not a realistic assumption for business and economic series. This paper describes a new approach to forecasting which takes into account possible pattern changes beyond the historical data. This approach is based on the development of two models: one short, the other long term. These models are then reconciled to produce the final forecasts by setting certain parameters as a function of the number, extent, and duration of pattern changes that have occurred in the past. The proposed method has been applied to the 111 series used in the M-Competition. Post-sample forecasting accuracy comparisons show the superiority of the proposed approach over the most accurate methods in the M-Competition.
- DOI
- 10.1287/mnsc.32.3.257
- Volume
- 32
- Issue
- 3
- Pages
- 257-271
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref