What do Professional Forecasters actually predict?

Arbeitspapier

In this paper we study what professional forecasters actually explain. We use spectral analysis and state space modeling to decompose economic time series into a trend, a business-cycle, and an 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 can predict almost all variation in the time series due to the trend and the business-cycle, but the forecasts contain little information about the variation in the irregular component.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Tinbergen Institute Discussion Paper ; No. 15-095/III

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Forecasting Models; Simulation Methods ; Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
• Subject: Expert Forecast ; Trend-Cycle Decomposition ; State Space Modeling ; Baxter-King Filter

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Nibbering, Didier ; Paap, Richard ; van der Wel, Michel
• Event: Veröffentlichung
• (who): Tinbergen Institute
• (where): Amsterdam and Rotterdam
• (when): 2015

Further information

• Handle: http://hdl.handle.net/10419/125099
• Last update: 10.03.2025, 11:42 AM CET