Random Walk Forecasts of Stationary Processes Have Low Bias
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DOI: 10.26509/frbc-wp-202318
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References listed on IDEAS
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More about this item
Keywords
ARMA Models; Overdifferenced; Prediction; Macroeconomic Time Series; Simulation;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2023-08-28 (Econometrics)
- NEP-ETS-2023-08-28 (Econometric Time Series)
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