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

Philip Hans Franses

No EI2019-28, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

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.

Keywords: One-step-ahead forecasts; Benchmark model (search for similar items in EconPapers)
JEL-codes: C53 (search for similar items in EconPapers)
Pages: 13
Date: 2019-08-01
New Economics Papers: this item is included in nep-for
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: IMA(1,1) as a new benchmark for forecast evaluation (2020)
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