2019
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 | |
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| doi.org/10.1080/13504851.2019.1686115, hdl.handle.net/1765/121562 | |
| Econometric Institute Reprint Series | |
| Applied Economics Letters | |
| Organisation | Department of Econometrics |
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Franses, P. H. (2019). IMA(1,1) as a new benchmark for forecast evaluation. Applied Economics Letters. doi:10.1080/13504851.2019.1686115 |
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