Editorial Type:
Article Category: Research Article
 | 
Online Publication Date: Jan 01, 2010

Predicting Net Discount Rates: A Comparison of Professional Forecasts, Time-series Forecasts and Traditional Methods

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Page Range: 147 – 171
DOI: 10.5085/jfe.21.2.147
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Abstract

Previous research proposed two future net discount rate estimators that improved on naïve long-term average and random walk estimators. The proposed estimators were superior in the class of estimators that used only current and past observations on net discount rates. In this paper we consider two extensions. First we examine whether professional forecasts perform significantly better than the two alternatives. Second, we examine the properties and performance of multivariate estimators that account for the potentially differing time-series behaviors of the underlying wage growth and interest rate series.

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Copyright: © 2010 National Association of Forensic Economics
Figure 1.
Figure 1.

Net Discount Rates

Contributor Notes

*Professor of Economics, Department of Economics, University of Nebraska-Lincoln, Lincoln NE.

**Corresponding author. Professor of Economics, Department of Economics, University of Nebraska-Lincoln, Lincoln NE. The authors thank the participants at the National Association of Forensic Economists session at the Western Economic Association meeting in the summer of 2008 and to three anonymous referees for their valuable comments. We also thank Mary McGarvey for help with the Gauss estimation.