Using forecasts of forecasters to forecast

Nolte, Ingmar and Pohlmeier, Winfried (2007) Using forecasts of forecasters to forecast. International Journal of Forecasting, 23 (1). pp. 15-28. ISSN 0169-2070

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Abstract

Quantification techniques are popular methods in empirical research for aggregating the qualitative predictions at the microlevel into a single figure. In this paper, we analyze the forecasting performance of various methods that are based on the qualitative predictions of financial experts for major financial variables and macroeconomic aggregates. Based on the Centre of European Economic Research's Financial Markets Survey, a monthly qualitative survey of around 330 financial experts, we analyze the out-of-sample predictive quality of probability methods and regression methods. Using the modified Diebold-Mariano test of Harvey, Leybourne and Newbold (Harvey, D., Leybourne, S., & Newbold, P. (1997). Testing the equality of prediction mean squared errors. International Journal of Forecasting, 13, 281-291), we compare the forecasts based on survey methods with the forecasting performance of standard linear time series approaches and simple random walk forecasts.

Item Type:
Journal Article
Journal or Publication Title:
International Journal of Forecasting
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1400/1403
Subjects:
ID Code:
65877
Deposited By:
Deposited On:
05 Aug 2013 10:27
Refereed?:
Yes
Published?:
Published
Last Modified:
18 Mar 2020 03:58