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

Applied Economics Letters
Department of Econometrics

Franses, P. H. (2019). IMA (1,1) as a New Benchmark for forecast. Applied Economics Letters, 27(17), 1419–1423. Retrieved from