- Author
- Piłatowska Mariola (Uniwersytet Mikołaja Kopernika w Toruniu)
- Title
- Prognozy kombinowane z wykorzystaniem wag Akaike'a
Combining Forecasts Using the Akaike Weights - Source
- Acta Universitatis Nicolai Copernici. Nauki Humanistyczno-Społeczne. Ekonomia, 2009, t. 39, s. 51-62, tab., bibliogr. 15 poz.
- Issue title
- Dynamiczne modele ekonometryczne
- Keyword
- Układ wagowy, Prognozowanie, Modelowanie symulacyjne
Weighing design, Forecasting, Simulation modelling - Abstract
- W artykule uwaga jest skupiona na podejściu wykorzystującym kryteria informacyjne, a w szczególności kryterium Akaike'a, które jest wykorzystywane do wyznaczenia wag Akaike'a. Podejście to umożliwia otrzymanie nie jednego, a kilku wiarygodnych modeli, dla których można stworzyć ranking stosując wagi Akaike'a. Modele te stanowią podstawę obliczenia prognoz indywidualnych, a te z kolei służą do wyznaczenia ostatecznej prognozy kombinowanej, przy formułowaniu której wykorzystuje się wagi Akaike'a. (abstrakt oryginalny)
The focus in the paper is on the information criteria approach and especially the Akaike information criterion which is used to obtain the Akaike weights. This approach enables to receive not one best model, but several plausible models for which the ranking can be built using the Akaike weights. This set of candidate models is the basis of calculating individual forecasts, and then for combining forecasts using the Akaike weights. The procedure of obtaining the combined forecasts using the AIC weights is proposed. The performance of combining forecasts with the AIC weights and equal weights with regard to individual forecasts obtained from models selected by the AIC criterion and the a posteriori selection method is compared in simulation experiment. The conditions when the Akaike weights are worth to use in combining forecasts were indicated. The use of the information criteria approach to obtain combined forecasts as an alternative to formal hypothesis testing was recommended. (original abstract) - Full text
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- Bibliography
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- Cited by
- ISSN
- 2080-0339
- Language
- pol