IMA(1,1) as a new benchmark for forecast evaluation

Philip Hans Franses

Applied Economics Letters, 2020, vol. 27, issue 17, 1419-1423

Abstract: 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.

Date: 2020
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Working Paper: IMA(1,1) as a new benchmark for forecast evaluation (2019)
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DOI: 10.1080/13504851.2019.1686115

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