What do professional forecasters actually predict?

TY - JOUR

T1 - What do professional forecasters actually predict?

AU - Nibbering, Didier

AU - Paap, Richard

AU - van der Wel, Michel

PY - 2018/4

Y1 - 2018/4

N2 - 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.

AB - 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.

KW - Baxter-King filter

KW - Expert forecast

KW - Forecast evaluation

KW - State space modeling

KW - Survey of professional forecasters

KW - Trend-cycle decomposition

UR - http://www.scopus.com/inward/record.url?scp=85042022810&partnerID=8YFLogxK

U2 - 10.1016/j.ijforecast.2017.12.004

DO - 10.1016/j.ijforecast.2017.12.004

M3 - Journal article

AN - SCOPUS:85042022810

SN - 0169-2070

VL - 34

SP - 288

EP - 311

JO - International Journal of Forecasting

JF - International Journal of Forecasting

IS - 2

ER -