Random Walk Forecasts of Stationary Processes Have Low Bias

DOI10.1080/07350015.2025.2541724MaRDI QIDQ7322008zbMATH OpenFDO

Authors Kenneth D. West

Publication date 31 August 2026

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2025.2541724

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• Asymptotic Inference about Predictive Ability
• Measuring uncertainty about long-run predictions
• Properties of predictors in overdifferenced nearly nonstationary autoregression
• Robustifying forecasts from equilibrium-correction systems
• Tests of Conditional Predictive Ability

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