Premium
Combination of Forecasts across Estimation Windows: An Application to Air Travel Demand
Author(s) -
Jungmittag Andre
Publication year - 2016
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.2400
Subject(s) - econometrics , estimation , window (computing) , air travel , demand forecasting , computer science , economics , operations management , engineering , aviation , management , aerospace engineering , operating system
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 © 2016 John Wiley & Sons, Ltd.