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

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  • Philip Hans Franses

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

  • Philip Hans Franses, 2020. "IMA(1,1) as a new benchmark for forecast evaluation," Applied Economics Letters, Taylor & Francis Journals, vol. 27(17), pages 1419-1423, October.
    • Handle: RePEc:taf:apeclt:v:27:y:2020:i:17:p:1419-1423
    DOI: 10.1080/13504851.2019.1686115
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    Cited by:

    1. Badih Ghattas & Alvaro Sanchez San-Benito, 2025. "Clustering Approaches for Mixed‐Type Data: A Comparative Study," Post-Print hal-05069567, HAL.
    2. Heidorn, Thomas & Schäfer, Niklas, 2020. "Euro-Benchmarkreform - Neue Referenzzinssätze in der Eurozone," Frankfurt School - Working Paper Series 228, Frankfurt School of Finance and Management.
    3. LeBaron, Blake & Smith, Karen, 2025. "Learning integrated inflation forecasts in a simple multi-agent macroeconomic model," Journal of Economic Dynamics and Control, Elsevier, vol. 172(C).

    More about this item

    JEL classification:

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

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