Prediction of demand is a key component within supply chain management. Im-
proved accuracy in forecasts affects directly all levels of the supply chain, reduc-
ing stock costs and increasing customer satisfaction. In many application areas,
demand prediction relies on statistical software which provides an initial forecast
subsequently modified by the expert’s judgment. This paper outlines a new method-
ology based on State Dependent Parameter (SDP) estimation techniques to identify
the non-linear behaviour of such managerial adjustments. This non-parametric SDP
estimate is used as a guideline to propose a non-linear model that corrects the bias
introduced by the managerial adjustments. One-step-ahead forecasts of SKU sales
sampled monthly from a manufacturing company are utilized to test the proposed
methodology. The results indicate that adjustments introduce a non-linear pattern
undermining accuracy. This understanding can be used to enhance the design of
the Forecasting Support System in order to help forecasters towards more efficient
judgmental adjustments.