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
Department of Econometrics

Franses, Ph.H.B.F. (2019, August). IMA(1,1) as a new benchmark for forecast evaluation. Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/118657