Using forecasts of forecasters to forecast

Nolte, Ingmar; Pohlmeier, Winfried

Using forecasts of forecasters to forecast

Dateien

Nolte_Pohlmeier_2007_Using_Forecaster_IJF.pdfGröße: 526.22 KBDownloads: 607

Datum

2007

Autor:innen

Nolte, Ingmar

Pohlmeier, Winfried

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Wirtschaftswissenschaften

Publikationstyp

Zeitschriftenartikel

Publikationsstatus

Published

Erschienen in

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.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

Forecasting quality, Qualitative survey data, Quantification methods, Linear time series models, Turning points

Zitieren

ISO 690

NOLTE, 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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