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
Keywords One-step-ahead forecasts, Benchmark model
JEL Forecasting and Other Model Applications (jel C53)
Persistent URL hdl.handle.net/1765/118657
Series Econometric Institute Research Papers
Citation
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