Using Forecasts of Forecasters to Forecast

27 Pages Posted: 17 Jul 2006

See all articles by Ingmar Nolte

Ingmar Nolte

Lancaster University - Department of Accounting and Finance

Winfried Pohlmeier

University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)

Date Written: May 15, 2006

Abstract

Quantification techniques are popular methods in empirical research to aggregate the qualitative predictions at the micro-level 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 & Newbold (1997), we confront the forecasts based on survey methods with the forecasting performance of standard linear time series approaches and simple random walk forecasts.

Keywords: Forecasting Quality, Qualitative Survey Data, Quantification Methods, Linear Time Series Models, Turning Points

JEL Classification: G10,E30,E31,E37,C10,C42

Suggested Citation

Nolte, Ingmar and Pohlmeier, Winfried, Using Forecasts of Forecasters to Forecast (May 15, 2006). Available at SSRN: https://ssrn.com/abstract=917116 or http://dx.doi.org/10.2139/ssrn.917116

Ingmar Nolte (Contact Author)

Lancaster University - Department of Accounting and Finance ( email )

Lancaster, Lancashire LA1 4YX
United Kingdom

Winfried Pohlmeier

University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE) ( email )

Konstanz, D-78457
Germany

HOME PAGE: http://econometrics.wiwi.uni-konstanz.de

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