Predicting Net Discount Rates: A Comparison of Professional Forecasts, Time-series Forecasts and Traditional Methods

Matthew J. Cushing and David I. Rosenbaum

Journal of Forensic Economics, 2010, vol. 21, issue 2, 147-171

Abstract: Previous research proposed two future net discount rate estimators that improved on naïve long-term average and random walk estimators. The proposed estimators were superior in the class of estimators that used only current and past observations on net discount rates. In this paper we consider two extensions. First we examine whether professional forecasts perform significantly better than the two alternatives. Second, we examine the properties and performance of multivariate estimators that account for the potentially differing time-series behaviors of the underlying wage growth and interest rate series.

JEL-codes: K13 (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:fek:papers:doi:10.5085/jfe.21.2.147

DOI: 10.5085/jfe.21.2.147

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