Lecture 6 - Comparative Out-of-Sample Forecasting...

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Comparative Out-of-Sample Forecasting Performances Of Exponential Smoothing Models On Plano Sales Tax Revenue Data Different Exponential Smoothing Methods are designated as follows: Simple Exponential Smoothing = NTNS (No Trend, No Seasonality) Seasonal Exponential Smoothing = NTS (No Trend, Seasonality) Holt Exponential Smoothing = TNS (Trend, No Seasonality) Additive Winters Smoothing = TS (Trend, Seasonality) In-Sample Period = Feb. 1990 – Dec. 2003 (167 Observations) Out-of-Sample Period = Jan. 2004 – Nov. 2005 (23 Observations)
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Unformatted text preview: Out-of- Sample Forecasting Performances Of Various Exponential Smoothing Methods At Horizons (h) 1, 3, and 6 And using the PMAE as the Measure of Accuracy TS NTNS TNS NTS M h 4.30 19.87 20.57 4.61 23 1 3.84 14.76 15.34 4.58 21 3 3.50 13.37 13.83 4.88 18 6 Certainly, ignorance with respect to proper choice of trend and seasonality is important in this Plano data but it seems that of the two ignorances, the ignorance of seasonality is more costly than the ignorance of trend....
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  • Fall '13
  • TomFomby
  • Holt, TNS

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