Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/125099
Authors: 
Nibbering, Didier
Paap, Richard
van der Wel, Michel
Year of Publication: 
2015
Series/Report no.: 
Tinbergen Institute Discussion Paper 15-095/III
Abstract: 
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.
Subjects: 
Expert Forecast
Trend-Cycle Decomposition
State Space Modeling
Baxter-King Filter
JEL: 
C22
C53
E37
Document Type: 
Working Paper

Files in This Item:
File
Size
432.93 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.