Forecasting with structural change: why is the random walk model so damned difficult to beat?

This paper demonstrates that a naive forecast of no change can produce lower mean square forecast errors than those from true models when structural change exists.

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Year of publication:	1998
Authors:	Yoon, Gawon
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 5.1998, 1, p. 41-42
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005632627