Keith Ord

The M2-competition: A real-time judgmentally based forecasting study

The purpose of the M2-Competition is to determine the post sample accuracy of various forecasting methods. It is an empirical study organized in such a way as to avoid the major criticism of the M-Competition that forecasters in real situations can use additional information to improve the predictive accuracy of quantitative methods. Such information might involve inside knowledge (e.g. a machine breakdown, a forthcoming strike in a major competitor, a steep price increase, etc.), be related to the expected state of the industry or economy that might affect the product(s) involved, or be the outcome of a careful study of the historical data and special care in procedure/methods employed while forecasting. The MZCompetition consisted of distributing 29 actual series (23 of these series came from four companies and six were of macro economic nature) to five forecasters. The data covered information including the September figures of the year involved. The objective was to make monthly forecasts covering 1.5 months starting from October and including December of the next year. A year later the forecasters were provided with the new data as they had become available and the process of predicting for 15 months ahead was repeated. In addition to being able to incorporate their predictions about the state of the economy and that of the industry the participating forecasters could ask for any

An Interpretation of the Least Squares Regression Surface

Abstract A pedagogically useful interpretation of the least squares regression surface is offered. In particular, it is shown that the least squares hyperplane can be viewed as the weighted average of all of the possible hyperplanes that can be formed by observational set combinations. The appropriate weighting scheme is developed, and two examples are presented. Furthermore, the notions of robustness and influential observations are simply explained.