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The Effects of Parameter Misspecification and Non-Stationarity on the Applicability of Adaptive Forecasts

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  • John Bossons

    (Carnegie Institute of Technology)

Abstract

A "blowup factor" is defined for the measurement of the effect on forecast error variance of two types of misspecification which may be implicit in the choice of a particular adaptive forecasting scheme: (1) misspecification of the number of non-zero parameters of the stationary linear stochastic process generating the observed time series, and (2) misspecification arising from postulating stationarity when in fact the generating process is non-stationary in mean.

Suggested Citation

  • John Bossons, 1966. "The Effects of Parameter Misspecification and Non-Stationarity on the Applicability of Adaptive Forecasts," Management Science, INFORMS, vol. 12(9), pages 659-669, May.
    • Handle: RePEc:inm:ormnsc:v:12:y:1966:i:9:p:659-669
    DOI: 10.1287/mnsc.12.9.659
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    Cited by:

    1. Udenio, Maximiliano & Vatamidou, Eleni & Fransoo, Jan C., 2023. "Exponential smoothing forecasts: Taming the Bullwhip Effect when demand is seasonal," Other publications TiSEM 8fca6329-83b9-4a49-a2aa-e, Tilburg University, School of Economics and Management.
    2. Gardner, Everette Jr., 2006. "Exponential smoothing: The state of the art--Part II," International Journal of Forecasting, Elsevier, vol. 22(4), pages 637-666.

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