Forecasting with model selection or model averaging: a case study for monthly container port throughput

doi:10.1080/23249935.2015.1137652

	Forecasting with model selection or model averaging: a case study for monthly container port throughput
	Gao, Yan 1,2; Luo, Meifeng 3; Zou, Guohua 2
刊名	TRANSPORTMETRICA A-TRANSPORT SCIENCE
	2016-04-20
卷号	12 期号:4 页码:366-384
关键词	Model combination model selection time series forecast structural change VAR model container throughput
ISSN号	2324-9935
DOI	10.1080/23249935.2015.1137652
英文摘要	An accurate short-term prediction of time series data is critical to operational decision-making. While most forecasts are made based on one selected model according to certain criteria, there are developments that harness the advantages of different models by combining them together in the prediction process. Following on from existing work, this paper applies six model selection criteria and six model averaging (MA) criteria to a structural change vector Autoregressive model, and compares them in terms of both the theoretical background and empirical results. A case study of the monthly container port throughput forecasting for two competing ports shows that, in general, the model averaging methods perform better than the model selection methods. In particular, the leave-subject-out cross-validation MA method is the best in the sense of achieving the lowest average of mean-squared forecast errors.
资助项目	Dean's Reserve of Faculty of Business ; Hong Kong Polytechnic University[1-ZVBS] ; RGC general research fund [RGC/Gov][PolyU 5463/12H] ; National Natural Science Foundation of China[11331011] ; National Natural Science Foundation of China[11271355]
WOS研究方向	Transportation
语种	英语
出版者	TAYLOR & FRANCIS LTD
WOS记录号	WOS:000371244700005
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/22132]
专题	中国科学院数学与系统科学研究院
通讯作者	Luo, Meifeng
作者单位	1.Minzu Univ China, Sch Sci, Dept Stat, Beijing, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 3.Hong Kong Polytech Univ, Dept Logist & Maritime Studies, Kowloon, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Gao, Yan,Luo, Meifeng,Zou, Guohua. Forecasting with model selection or model averaging: a case study for monthly container port throughput[J]. TRANSPORTMETRICA A-TRANSPORT SCIENCE,2016,12(4):366-384.
APA	Gao, Yan,Luo, Meifeng,&Zou, Guohua.(2016).Forecasting with model selection or model averaging: a case study for monthly container port throughput.TRANSPORTMETRICA A-TRANSPORT SCIENCE,12(4),366-384.
MLA	Gao, Yan,et al."Forecasting with model selection or model averaging: a case study for monthly container port throughput".TRANSPORTMETRICA A-TRANSPORT SCIENCE 12.4(2016):366-384.