Combination of forecasts across estimation windows: An application to air travel demand

This paper applies combining forecasts of air travel demand generated from the same model but over different estimation windows. The combination approach used resorts to Pesaran and Pick (2011), but the empirical application is extended in several ways. The forecasts are based on a seasonal Box-Jenkins model (SARIMA), which is adequate to forecast monthly air travel demand with distinct seasonal patterns at the largest German airport Frankfurt am Main. Furthermore, forecasts with forecast horizons from one to twelve months-ahead, which are based on different average estimation windows, expanding windows and single rolling windows, are compared with baseline forecasts based on an expanding window of the observations after a structural break. The forecast exercise shows that the average window forecasts mostly outperform the alternative single window forecasts.