Timeline for Random walk out of sample forecasting
Current License: CC BY-SA 3.0
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| Feb 1, 2012 at 16:29 | comment | added | Frank | Thanks. your answer probably exceeds my needs cause I'm just trying to estimate the out of sample forecasting errors, and using a RW model, the forecast k step ahead y(t+k) it's equal to y(t).And this is what I wrote in my code but I obtained too much small errors, mach smaller than the paper I'm trying to replicate. For this reason I think that I did a mistake. But I can't find it! | |
| Feb 1, 2012 at 14:51 | history | answered | Zach | CC BY-SA 3.0 |