Box Office Buzz: Does Social Media Data Steal the Show from Model Uncertainty When Forecasting for Hollywood?
研究了使用Twitter数据预测电影票房和DVD销售时，考虑模型不确定性（如模型平均法）能显著提升预测准确性，而惩罚方法在变量选择上表现相当。
Business decision makers are increasingly using predictive social media analytic tools in forecasting exercises but ignoring potential model uncertainty. Using data on the universe of Twitter messages, we calculate the sentiment regarding each film to understand whether these opinions affect box office opening and DVD retail sales. Our results contrasting eleven different econometric strategies including penalization methods indicate that accounting for model uncertainty can lead to large gains in forecast accuracy. While penalization methods do not outperform model averaging on forecast accuracy, evidence indicates they perform equivalently at the variable selection stage. Finally, incorporating social media data greatly improves forecast accuracy.