Template-Type: ReDIF-Paper 1.0
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Title: IMA(1,1) as a new benchmark for forecast evaluation
Abstract: Many forecasting studies compare the forecast accuracy of new methods or models against a benchmark model. Often, this benchmark is the random walk model. In this note I argue that for various reasons an IMA(1,1) model is a better benchmark in many cases.
Length: 13
Creation-Date: 2019-08-01
File-URL: https://repub.eur.nl/pub/118657/EI2019-28-report.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI2019-28
Classification-JEL: C53
Keywords: One-step-ahead forecasts, Benchmark model
Handle: RePEc:ems:eureir:118657