12/28/2024 Columbia University 01:08:23
[Link]
Level Model
Compare Moving Average and Exponential Smoothing.
Moving Exponetial
Average Smoothing
N=5
Average error 0.50 0.2
MAD 6.9 7.3
MSE 74.1 82.4
MAPE 6.9% 7.3%
MOVING AVERAGES
forecast forecast absolute relative forecast
time series MA(5) errors errors errors ES(.33)
1 81.69 #N/A #N/A #N/A #N/A #N/A
2 109.97 #N/A #N/A #N/A #N/A #N/A
3 109.50 #N/A #N/A #N/A #N/A #N/A
4 106.42 #N/A #N/A #N/A #N/A #N/A
5 101.82 #N/A #N/A #N/A #N/A #N/A
6 94.93 101.9 6.9 6.9 7.3% 101.9
7 88.51 104.5 16.0 16.0 18.1% 99.6
8 116.64 100.2 -16.4 16.4 14.1% 95.9
9 86.24 101.7 15.4 15.4 17.9% 102.8
10 117.10 97.6 -19.5 19.5 16.6% 97.3
11 105.58 100.7 -4.9 4.9 4.6% 103.9
12 94.60 102.8 8.2 8.2 8.7% 104.5
13 102.87 104.0 1.2 1.2 1.1% 101.2
14 88.18 101.3 13.1 13.1 14.9% 101.7
15 106.23 101.7 -4.6 4.6 4.3% 97.2
12 Prof. Guillermo Gallego [Link]
12/28/2024 Columbia University 01:08:23
16 98.71 99.5 0.8 0.8 0.8% 100.2
17 93.55 98.1 4.6 4.6 4.9% 99.7
18 101.19 97.9 -3.3 3.3 3.2% 97.7
19 93.22 97.6 4.4 4.4 4.7% 98.8
20 107.41 98.6 -8.8 8.8 8.2% 97.0
21 110.87 98.8 -12.1 12.1 10.9% 100.4
22 100.41 101.3 0.8 0.8 0.8% 103.9
23 102.05 102.6 0.6 0.6 0.6% 102.8
24 96.49 102.8 6.3 6.3 6.5% 102.5
25 97.43 103.4 6.0 6.0 6.2% 100.5
26 105.94 101.5 -4.5 4.5 4.2% 99.5
27 92.42 100.5 8.0 8.0 8.7% 101.6
28 99.44 98.9 -0.6 0.6 0.6% 98.6
29 97.70 98.3 0.6 0.6 0.7% 98.9
30 90.40 98.6 8.2 8.2 9.1% 98.5
31 109.89 97.2 -12.7 12.7 11.6% 95.8
32 104.04 98.0 -6.1 6.1 5.8% 100.5
33 91.46 100.3 8.8 8.8 9.7% 101.7
34 103.98 98.7 -5.3 5.3 5.1% 98.3
35 96.59 100.0 3.4 3.4 3.5% 100.2
36 100.31 101.2 0.9 0.9 0.9% 99.0
12 Prof. Guillermo Gallego [Link]
12/28/2024 Columbia University 01:08:23
alpha 0.33
EXPONENTIAL SMOOTHING
forecast absolute relative
errors errors errors
#N/A #N/A #N/A
#N/A #N/A #N/A
#N/A #N/A #N/A
#N/A #N/A #N/A
#N/A #N/A #N/A
6.9 6.9 7.3%
11.1 11.1 12.5%
-20.8 20.8 17.8%
16.6 16.6 19.2%
-19.8 19.8 16.9%
-1.7 1.7 1.6%
9.9 9.9 10.4%
-1.7 1.7 1.7%
13.6 13.6 15.4%
-9.0 9.0 8.5%
12 Prof. Guillermo Gallego [Link]
12/28/2024 Columbia University 01:08:23
1.5 1.5 1.5%
6.2 6.2 6.6%
-3.5 3.5 3.5%
5.6 5.6 6.0%
-10.4 10.4 9.7%
-10.4 10.4 9.4%
3.5 3.5 3.5%
0.7 0.7 0.7%
6.0 6.0 6.2%
3.1 3.1 3.2%
-6.5 6.5 6.1%
9.2 9.2 10.0%
-0.9 0.9 0.9%
1.2 1.2 1.2%
8.1 8.1 8.9%
-14.1 14.1 12.8%
-3.6 3.6 3.4%
10.2 10.2 11.2%
-5.7 5.7 5.5%
3.6 3.6 3.7%
-1.3 1.3 1.3%
12 Prof. Guillermo Gallego [Link]
[Link]
Linear trend. Here we compare moving averages, exponential smoothing,
and double exponential smoothing. Expost regression is an after the fact benchmark.
Moving Exponetial Double Exp. Expost
Average Smoothing Smoothing Regression
N=5
Average error -7.11 -7.51 -3.71 -1.13
MAD 10.85 10.48 9.13 8.10
MSE 163.20 158.91 136.00 86.77
MAPE 7.16% 6.96% 6.35% 6.00%
MOVING AVERAGES
series forecast forecast absolute
time series trend +trend MA(5) errors errors
1 83.8 0.0 83.8 #N/A #N/A #N/A
2 88.8 3.0 91.8 #N/A #N/A #N/A
3 104.7 6.0 110.7 #N/A #N/A #N/A
4 104.5 9.0 113.5 #N/A #N/A #N/A
5 93.8 12.0 105.8 #N/A #N/A #N/A
6 108.2 15.0 123.2 101.1 -22.1 22.1
7 106.5 18.0 124.5 109.0 -15.5 15.5
8 98.6 21.0 119.6 115.5 -4.0 4.0
9 110.3 24.0 134.3 117.3 -17.0 17.0
10 90.9 27.0 117.9 121.5 3.5 3.5
11 109.4 30.0 139.4 123.9 -15.5 15.5
12 101.5 33.0 134.5 127.1 -7.3 7.3
13 81.9 36.0 117.9 129.1 11.2 11.2
14 86.6 39.0 125.6 128.8 3.2 3.2
15 99.4 42.0 141.4 127.1 -14.3 14.3
16 89.9 45.0 134.9 131.7 -3.1 3.1
17 104.4 48.0 152.4 130.8 -21.6 21.6
18 107.0 51.0 158.0 134.4 -23.5 23.5
19 91.6 54.0 145.6 142.4 -3.1 3.1
20 99.6 57.0 156.6 146.4 -10.1 10.1
21 89.3 60.0 149.3 149.5 0.1 0.1
22 88.0 63.0 151.0 152.4 1.4 1.4
23 97.2 66.0 163.2 152.1 -11.2 11.2
24 95.3 69.0 164.3 153.1 -11.2 11.2
25 106.6 70.0 176.6 156.9 -19.7 19.7
26 111.3 71.0 182.3 160.9 -21.4 21.4
27 104.7 72.0 176.7 167.5 -9.2 9.2
28 80.6 73.0 153.6 172.6 19.0 19.0
29 90.9 74.0 164.9 170.7 5.8 5.8
30 87.2 75.0 162.2 170.8 8.6 8.6
31 108.0 76.0 184.0 167.9 -16.1 16.1
32 86.3 77.0 163.3 168.3 5.0 5.0
33 100.6 78.0 178.6 165.6 -13.0 13.0
34 99.8 79.0 178.8 170.6 -8.2 8.2
35 97.9 80.0 177.9 173.4 -4.5 4.5
36 102.3 81.0 183.3 176.5 -6.8 6.8
ial smoothing,
after the fact benchmark.
alpha 0.33 alpha 0.33
EXPONENTIAL SMOOTHING DOUBLE EXPONENTIAL SMO
relative forecast forecast absolute relative forecast smoothing
errors ES(.33) errors errors errors of data
#N/A #N/A #N/A #N/A #N/A 83.8
#N/A #N/A #N/A #N/A #N/A 91.8
#N/A #N/A #N/A #N/A #N/A 99.78 103.4
#N/A #N/A #N/A #N/A #N/A 111.96 112.5
#N/A #N/A #N/A #N/A #N/A 121.11 116.1
17.9% 101.14 -22.1 22.1 17.9% 123.88 123.7
12.4% 108.42 -16.1 16.1 12.9% 131.43 129.1
3.4% 113.73 -5.8 5.8 4.9% 136.55 130.9
12.6% 115.65 -18.6 18.6 13.9% 137.42 136.4
3.0% 121.79 3.9 3.9 3.3% 142.69 134.5
11.1% 120.52 -18.9 18.9 13.6% 139.48 139.5
5.4% 126.75 -7.7 7.7 5.7% 144.42 141.1
9.5% 129.30 11.4 11.4 9.6% 145.55 136.4
2.6% 125.55 0.0 0.0 0.0% 139.36 134.8
10.1% 125.55 -15.8 15.8 11.2% 136.98 138.4
2.3% 130.77 -4.1 4.1 3.0% 140.83 138.9
14.1% 132.12 -20.3 20.3 13.3% 140.95 144.7
14.9% 138.81 -19.2 19.2 12.1% 147.44 150.9
2.1% 145.13 -0.4 0.4 0.3% 154.19 151.3
6.5% 145.27 -11.3 11.3 7.2% 154.15 154.9
0.1% 149.00 -0.3 0.3 0.2% 157.88 155.1
0.9% 149.10 -1.9 1.9 1.2% 157.53 155.4
6.8% 149.73 -13.5 13.5 8.3% 157.49 159.4
6.8% 154.19 -10.1 10.1 6.2% 161.82 162.7
11.2% 157.53 -19.1 19.1 10.8% 165.2 169.0
11.8% 163.83 -18.5 18.5 10.1% 172.2 175.5
5.2% 169.93 -6.7 6.7 3.8% 179.3 178.4
12.4% 172.16 18.6 18.6 12.1% 182.0 172.6
3.5% 166.03 1.1 1.1 0.7% 174.7 171.5
5.3% 165.66 3.4 3.4 2.1% 173.0 169.4
8.7% 164.52 -19.5 19.5 10.6% 170.4 174.9
3.1% 170.96 7.7 7.7 4.7% 176.6 172.2
7.3% 168.42 -10.2 10.2 5.7% 173.1 174.9
4.6% 171.78 -7.0 7.0 3.9% 176.2 177.1
2.6% 174.10 -3.8 3.8 2.2% 178.5 178.3
3.7% 175.37 -7.9 7.9 4.3% 179.7 180.9
SUMMARY OUT
Regression Statistic
Multiple
R Square
Adjusted
Standard
Observat
beta 0.16 ANOVA
OUBLE EXPONENTIAL SMOOTHING REGRESSION
smoothing forecast absolute relative expost forecastabsolutrelative Regressi
of trend errors errors errors forecast error errors errors Residual
103.3 19.5 19.5 23% Total
8.0 105.8 13.9 13.9 15%
8.6 11.0 11.0 0.1 108.2 -2.6 2.6 2% Coefficien
8.6 1.5 1.5 1% 110.6 -2.9 2.9 3% Intercept
7.8 -15.3 15.3 14% 113.0 7.2 7.2 7% X Variabl
7.8 -0.7 0.7 1% 115.4 -7.8 7.8 6%
7.4 -6.9 6.9 6% 117.8 -6.7 6.7 5%
6.5 -17.0 17.0 14% 120.2 0.7 0.7 1%
6.3 -3.2 3.2 2% 122.7 -11.6 11.6 9%
5.0 -24.8 24.8 21% 125.1 7.1 7.1 6%
5.0 -0.1 0.1 0% 127.5 -11.9 11.9 9%
4.4 -10.0 10.0 7% 129.9 -4.6 4.6 3%
2.9 -27.6 27.6 23% 132.3 14.4 14.4 12%
2.2 -13.8 13.8 11% 134.7 9.2 9.2 7%
2.4 4.4 4.4 3% 137.1 -4.2 4.2 3%
2.1 -6.0 6.0 4% 139.6 4.7 4.7 3%
2.7 11.4 11.4 8% 142.0 -10.4 10.4 7%
3.3 10.5 10.5 7% 144.4 -13.6 13.6 9%
2.8 -8.6 8.6 6% 146.8 1.2 1.2 1%
2.9 2.4 2.4 2% 149.2 -7.3 7.3 5%
2.5 -8.6 8.6 6% 151.6 2.3 2.3 2%
2.1 -6.5 6.5 4% 154.0 3.1 3.1 2%
2.4 5.8 5.8 4% 156.5 -6.8 6.8 4%
2.6 2.5 2.5 2% 158.9 -5.5 5.5 3%
3.2 11.4 11.4 6% 161.3 -15.3 15.3 9%
3.7 10.2 10.2 6% 163.7 -18.6 18.6 10%
3.6 -2.6 2.6 1% 166.1 -10.6 10.6 6%
2.1 -28.4 28.4 18% 168.5 14.9 14.9 10%
1.5 -9.8 9.8 6% 170.9 6.0 6.0 4%
0.9 -10.8 10.8 7% 173.4 11.1 11.1 7%
1.7 13.6 13.6 7% 175.8 -8.2 8.2 4%
1.0 -13.3 13.3 8% 178.2 14.9 14.9 9%
1.3 5.5 5.5 3% 180.6 2.0 2.0 1%
1.4 2.6 2.6 1% 183.0 4.2 4.2 2%
1.4 -0.5 0.5 0% 185.4 7.5 7.5 4%
1.6 3.6 3.6 2% 187.8 4.6 4.6 2%
SUMMARY OUTPUT
egression Statistics
0.93369
0.87177
0.868
9.89803
36
ANOVA
df SS MS F Significance F
1 22646.535 22646.535 231.1555 9.924E-17
34 3331.0139 97.970998
35 25977.549
Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95.0%
100.927 3.3693019 29.954944 5.026E-26 94.080009 107.77449 94.080009
2.41438 0.158801 15.203799 9.924E-17 2.0916563 2.7371008 2.0916563
Upper 95.0%
107.77449
2.7371008