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.

Econometric Institute Research Papers
Department of Econometrics

Franses, P. H. (2019, August). IMA(1,1) as a new benchmark for forecast evaluation. Econometric Institute Research Papers. Retrieved from