Correcting for Misspecification in Parameter Dynamics to Improve Forecast Accuracy with Adaptively Estimated Models
Bibliographic record
Abstract
Adaptive estimation methods have become a popular tool for capturing and forecasting changing conditions in dynamic environments. Although adaptive models can provide superior one-step-ahead forecasts, their application to multiperiod forecasting is challenging when the underlying parameter variation process is not correctly specified. The authors propose a methodology based on the Chebyshev approximation method (CAM), which provides a parsimonious substitute for the measurement updating process in the forecasting period, to help forecasters improve multiperiod accuracy in the case of parameter variation misspecification. In two empirical applications concerning the sales growth of new brands, CAM exhibits superior forecasting performance compared to a variety of benchmarks. CAM’s properties are further explored through extensive simulations, which suggest that the proposed method is more likely to increase forecast accuracy when parameter variation is more systematic but misspecified because of uncertainty regarding its exact functional form. This paper was accepted by Pradeep Chintagunta, marketing.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.005 | 0.035 |
| Meta-epidemiology (narrow) | 0.001 | 0.001 |
| Meta-epidemiology (broad) | 0.001 | 0.001 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.001 | 0.002 |
| Open science | 0.001 | 0.001 |
| Research integrity | 0.001 | 0.003 |
| Insufficient payload (model declined to judge) | 0.001 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".