2019-08-01
IMA(1,1) as a new benchmark for forecast evaluation
Publication
Publication
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.
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| hdl.handle.net/1765/118657 | |
| Econometric Institute Research Papers | |
| Organisation | Department of Econometrics |
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Franses, P. H. (2019). IMA(1,1) as a new benchmark for forecast evaluation. In Econometric Institute Research Papers (EI2019-28).http://hdl.handle.net/1765/118657 |
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