Forecasting long memory left–right political orientations

This paper considers out-of-sample forecasting of left–right political orientations of party affiliates in the Netherlands, using weekly data from 973 independent national Dutch surveys conducted between 1978 and 1996. The orientations of left-wing and right-wing party affiliates tend to converge over time in the sense that the differences between the average positions tend to decline. The left–right series also reveal long-memory properties in the sense that shocks appear to be highly persistent. We develop forecasting models that account for these data features and we derive the relevant forecast intervals.