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

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  • Franses, Ph.H.B.F.

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.

Suggested Citation

  • Franses, Ph.H.B.F., 2019. "IMA(1,1) as a new benchmark for forecast evaluation," Econometric Institute Research Papers EI2019-28, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    • Handle: RePEc:ems:eureir:118657
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    Cited by:

    1. Heidorn, Thomas & Schäfer, Niklas, 2020. "Euro-Benchmarkreform - Neue Referenzzinssätze in der Eurozone," Frankfurt School - Working Paper Series 228, Frankfurt School of Finance and Management.

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    More about this item

    Keywords

    One-step-ahead forecasts; Benchmark model;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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