IMA(1,1) as a new benchmark for forecast evaluation
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.
|Keywords||benchmark model, One-step-ahead forecasts|
|Persistent URL||dx.doi.org/10.1080/13504851.2019.1686115, hdl.handle.net/1765/121562|
|Journal||Applied Economics Letters|
Franses, Ph.H.B.F. (2019). IMA(1,1) as a new benchmark for forecast evaluation. Applied Economics Letters. doi:10.1080/13504851.2019.1686115