摘要:

AbstractThe purpose of this study is first, to demonstrate how multivariate forecasting models can be effectively used to generate high performance forecasts for typical business applications. Second, this study compares the forecasts generated by a simultaneous transfer function model (STF) model and a white noise regression model with that of a univariate ARIMA model. The accuracy of these forecasting models is judged using their residual variances and forecasting errors in a post‐sample period. It is found that ignoring the residual serial correlation can greatly degrade the forecasting performance of a multi‐variable model, and in some situations, cause a multi‐variable model to perform inferior to a univariate ARIMA model. This paper also demonstrates how a forecaster can use an STF model to compute both the multi‐step ahead forecasts and their variances

ISSN:0277-6693    

DOI:10.1002/for.3980060402

出版商:John Wiley&Sons, Ltd.    

年代:1987

数据来源: WILEY

摘要:

AbstractConsider a time series transformed by an instantaneous power function of the Box‐Cox type. For a wide range of fractional powers, this paper gives the relative bias in original metric forecasts due to use of the simple inverse retransformation when minimum mean squared error (conditional mean) forecasts are optimal. This bias varies widely according to the characteristics of the data. A fast algorithm is given to find this bias, or to find minimum mean squared error forecasts in the original metric. The results depend on the assumption that the forecast errors in the transformed metric are Gaussian. An example using real data is give

ISSN:0277-6693    

DOI:10.1002/for.3980060403

出版商:John Wiley&Sons, Ltd.    

年代:1987

数据来源: WILEY

摘要:

AbstractA case study in which a three‐stage choice model of Canadian household vehicle holdings and usage is used to generate short‐run forecasts of changes in household vehicle usage and gasoline consumption in response to a range of energy‐related policies. The objectives of this case study are to (1) demonstrate the application of disaggregate choice modelling methods to the generation of policy‐relevant forecasts of travel behaviour; (2) draw implications from this forecasting exercise concerning the likely impacts of various energy‐related policies; and (3) assess some of the strengths and weaknesses of the current state‐of‐the‐art of forecasting with disaggregate choice models, using the presented study as

ISSN:0277-6693    

DOI:10.1002/for.3980060404

出版商:John Wiley&Sons, Ltd.    

年代:1987

数据来源: WILEY

摘要:

AbstractThe role of household projections as a basis for forecasts of households at national and sub‐national level is discussed and a number of criteria for such projections are outlined. The projection method used by the Department of the Environment is examined in the context of these criteria and it is concluded that it is both practical and robust. However, it is open to criticism, first because of its failure to make the best use of the available data and of theoretical knowledge, and secondly because of its ‘black box’ nature. An alternative two‐stage strategy is developed. The first stage involves constructing projections using a new curve‐fitting method which takes account of within cohort life‐cycle headship rate changes. The second is a method of analysing the resulting projections by modelling transition rates between different household states. Worked examples of both methods ar

ISSN:0277-6693    

DOI:10.1002/for.3980060405

出版商:John Wiley&Sons, Ltd.    

年代:1987

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980060406

出版商:John Wiley&Sons, Ltd.    

年代:1987

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980060401

出版商:John Wiley&Sons, Ltd.    

年代:1987

数据来源: WILEY