Random Walk Forecasts of Stationary Processes Have Low Bias
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https://www.nber.org/papers/w34112
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资源简介：
We study the use of a misspecified overdifferenced model to forecast the level of a stationary scalar time series. Let x(t) be the series, and let bias be the sample average of a series of forecast errors. Then, the bias of forecasts of x(t) generated by a misspecified overdifferenced ARMA model for
提供机构：
美国国家经济研究局
创建时间：
2025-08-01
