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.
| Additional Metadata | |
|---|---|
| , | |
| hdl.handle.net/1765/118657 | |
| Econometric Institute Research Papers | |
| Organisation | Department of Econometrics |
|
Franses, P. H. (2019, August). IMA(1,1) as a new benchmark for forecast evaluation. Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/118657 |
|
