They should be at least nervous. I think Trump is going to vastly outperform the polls; I think we'll see that there are a lot of Trump voters out there who weren't willing to admit to supporting Trump to pollsters but will do so in the secrecy of the voting booth.
thus far there has been no evidence of that. Only evidence of the opposite: people who are saying they'll vote for Trump, but as soon as they get in that voting booth, reconsider that choice. And admittedly, even evidence of that is scant.
Well there can't be any definitive evidence for it (or against it for that matter) until the results of the election are in. But we do have some circumstantial evidence that supports my concern, and that is that Trump does better I online polls than in live polls.
538 did a piece on this... Trump actually underperformed his polls by about a point during the primaries. Now, 1 point isn't a significant difference, and it may well have been noise, but it definitely doesn't point to a "Shy Trump effect".
Poll
