Forecasting long memory left-right political orientations

This paper considers out-of-sample forecasting of left-right political orie ntations of party affiliates in the Netherlands, using weekly data from 973 independent national Dutch surveys conducted between 1978 and 1996. The or ientations of left-wing and right-wing party affiliates tend to converge ov er time in the sense that the differences between the average positions ten d to decline. The left-right series also reveal long-memory properties in t he sense that shocks appear to be highly persistent. We develop forecasting models that account for these data features and we derive the relevant for ecast intervals. (C) 1999 Elsevier Science B.V. All rights reserved.