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this group. In recent years, the number of
products in the second category has been
growing, as statistical software firms have
been adding additional and more sophisticated forecasting methodologies to their
lists of features and capabilities. However,
some dedicated software manufacturers offer specific capabilities and features
(e.g., transfer function, econometric models, etc.) that general statistical programs
may not have.
In both software categories, forecasting software varies when it comes to the
degree to which the software can find
the appropriate model and the optimal
parameters of that model. For example,
Winters’ method requires values for three
smoothing constants and Box-Jenkins
models have to be specified with various parameters, such as ARIMA(1,0,1)
x(0,1,2). Forecasting software vary in
their degree to find these parameters.
For the purposes of this and previous
surveys, the ability of the software to find
the optimal model and parameters for the
data is characterized. Software is labeled
as automatic if it both recommends the
appropriate model to use on a particular
data set and finds the optimal parameters for that model. Automatic software
typically asks the user to specify some
parameter to minimize (e.g., Akaike Information Criterion (AIC), Schwarz Bayesian Information Criterion (SBIC), RMSE,
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etc.) and recommends a forecast model
for the data, gives the model’s optimal
parameters, calculates forecasts for a
user-specified number of future periods,
and gives various summary statistics and
graphs. The user can manually ove rrule
the recommended model and choose another, and the software finds the optimal
parameters, forecasts, etc., for that one.
The second category is called semiautomatic. Such software asks the user to
pick a forecasting model from a menu and
some statistic to minimize, and the program then finds the optimal parameters
for that model, the forecasts, and various
graphs and statistics.
The third category is called manual
software. Here the user must specify both
the model that should be used and the
corresponding parameters. The software
then finds the forecasts, summary statistics and charts. If you frequently need to
make forecasts of different types of time
series, using manual software could be a
tedious choice. Unfortunately, that broad
advice may not be apropos for some
software. Some products fall into two
categories. For example, if you choose
a Box-Jenkins model, the software may
find the optimal parameters for that model, but if you specify that Winters’ method
be used, the product may require that
you manually enter the three smoothing
constants.
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