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What do professional forecasters actually predict?

Didier Nibbering, Richard Paap and Michel van der Wel ()

International Journal of Forecasting, 2018, vol. 34, issue 2, 288-311

Abstract: This paper studies what professional forecasters predict. We use spectral analysis and state space modeling to decompose economic time series into trend, business cycle, and irregular components. We examine which components are captured by professional forecasters by regressing their forecasts on the estimated components extracted from both the spectral analysis and the state space model. For both decomposition methods, we find that, in the short run, the Survey of Professional Forecasters can predict almost all of the variation in the time series due to the trend and the business cycle, but that the forecasts contain little or no significant information about the variation in the irregular component.

Keywords: Forecast evaluation; Survey of professional forecasters; Expert forecast; Trend-cycle decomposition; State space modeling; Baxter-King filter (search for similar items in EconPapers)
Date: 2018
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Working Paper: What Do Professional Forecasters Actually Predict? (2017) Downloads
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