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Applied Economics Letters Volume 5, 1998 - Issue 1
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Original Articles

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

Gawon Yoon Korea Economic Research Institute, FKI BLDG, 28-1, Yoido-dong, Yeongdungpo-gu, Seoul, 150-756, South Korea
Pages 41-42 | Received 26 Sep 1996, Published online: 02 Nov 2006
 
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Abstract

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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