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What Do Professional Forecasters Actually Predict?

Didier Nibbering (), Richard Paap () and Michel van der Wel ()
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Didier Nibbering: Erasmus University Rotterdam, the Netherlands
Richard Paap: Erasmus University Rotterdam, the Netherlands

No 15-095/III, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: In this paper we study what professional forecasters predict. We use spectral analysis and state space modeling to decompose economic time series into a trend, business-cycle, and irregular component. To examine which components are captured by professional forecasters, we regress their forecasts on the estimated components extracted from both the spectral analysis and the state space model. For both decomposition methods we find that the Survey of Professional Forecasters in the short run can predict almost all variation in the time series due to the trend and business-cycle, but 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)
New Economics Papers: this item is included in nep-for and nep-mac
Date: 2015-08-07, Revised 2017-10-13
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