2019-10-30
IMA (1,1) as a New Benchmark for forecast
Publication
Publication
Applied Economics Letters , Volume 27 - Issue 17 p. 1419- 1423
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 | |
|---|---|
| , | |
| hdl.handle.net/1765/131233 | |
| Applied Economics Letters | |
| Organisation | 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 http://hdl.handle.net/1765/131233 |
|
