Using forecasts of forecasters to forecast

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Nolte_Pohlmeier_2007_Using_Forecaster_IJF.pdf
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2007
Autor:innen
Nolte, Ingmar
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International Journal of Forecasting. 2007, 23(1), pp. 15-28. Available under: doi: 10.1016/j.ijforecast.2006.05.001
Zusammenfassung

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.

Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
330 Wirtschaft
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Forecasting quality, Qualitative survey data, Quantification methods, Linear time series models, Turning points
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Zitieren
ISO 690NOLTE, Ingmar, Winfried POHLMEIER, 2007. Using forecasts of forecasters to forecast. In: International Journal of Forecasting. 2007, 23(1), pp. 15-28. Available under: doi: 10.1016/j.ijforecast.2006.05.001
BibTex
@article{Nolte2007Using-12125,
  year={2007},
  doi={10.1016/j.ijforecast.2006.05.001},
  title={Using forecasts of forecasters to forecast},
  number={1},
  volume={23},
  journal={International Journal of Forecasting},
  pages={15--28},
  author={Nolte, Ingmar and Pohlmeier, Winfried}
}
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