Combination of Forecasts across Estimation Windows: An Application to Air Travel Demand
Combination of Forecasts across Estimation Windows: An Application to Air Travel Demand
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DOI：
10.1002/for.2400
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发表时间：
2016-07-01
影响因子：
3.4
通讯作者：
Jungmittag, Andre
中科院分区：
文献类型：
--
作者：
Jungmittag, Andre
本文应用组合预测的航空旅行需求产生的同一模型，但在不同的估计窗口。所使用的组合方法诉诸Pesaran和Pick（Journal of Business Economics and Statistics 2011; 29：307-318），但实证应用以几种方式扩展。这些预测是基于季节性的Box-Jenkins模型（SARIMA），该模型足以预测德国最大机场（法兰克福am Main）具有明显季节性模式的月度航空旅行需求。此外，预测范围从1至12个月的未来，这是基于不同的平均估计窗口，扩大窗口和单一滚动窗口，与基线预测的基础上扩大窗口的观察结构性断裂后进行比较。预测实践表明，平均窗口预测大多优于替代单一窗口预测。版权所有（C）2016约翰威利父子有限公司
This paper applies combining forecasts of air travel demand generated from the same model but over different estimation windows. The combination approach used resorts to Pesaran and Pick (Journal of Business Economics and Statistics 2011; 29: 307-318), but the empirical application is extended in several ways. The forecasts are based on a seasonal Box-Jenkins model (SARIMA), which is adequate to forecast monthly air travel demand with distinct seasonal patterns at the largest German airport: Frankfurt am Main. Furthermore, forecasts with forecast horizons from 1 to 12 months ahead, which are based on different average estimation windows, expanding windows and single rolling windows, are compared with baseline forecasts based on an expanding window of the observations after a structural break. The forecast exercise shows that the average window forecasts mostly outperform the alternative single window forecasts. Copyright (C) 2016 John Wiley & Sons, Ltd.