Box Office Buzz: Does Social Media Data Steal the Show from Model Uncertainty When Forecasting for Hollywood?

Steven Lehrer; Tian Xie

doi:10.1162/rest_a_00671

Box Office Buzz: Does Social Media Data Steal the Show from Model Uncertainty When Forecasting for Hollywood?

¹ Queen’s University, NYU Shanghai, and NBER · ² Wang Yanan Institute for Studies in Economics, Department of Finance, MOE Key Lab of Econometrics, and Fujian Key Lab of Statistical Sciences, Xiamen University

The Review of Economics and Statistics 2017 open access

Business decision makers are increasingly using predictive social media analytic tools in forecasting exercises but ignoring potential model uncertainty. Using data on the universe of Twitter messages, we calculate the sentiment regarding each film to understand whether these opinions affect box office opening and DVD retail sales. Our results contrasting eleven different econometric strategies including penalization methods indicate that accounting for model uncertainty can lead to large gains in forecast accuracy. While penalization methods do not outperform model averaging on forecast accuracy, evidence indicates they perform equivalently at the variable selection stage. Finally, incorporating social media data greatly improves forecast accuracy.

DOI: 10.1162/rest_a_00671
Volume: 99 (5)
Pages: 749-755
Language: en
Export: BibTeX
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