Moosa, Imad; Burns, Kelly - In: Journal of Macroeconomics 40 (2014) C, pp. 69-81
, estimation method or the forecasting horizon) outperform the random walk in out-of-sample forecasting if forecasting power is … measured by direction accuracy and profitability. Claims of outperforming the random walk in terms of the root mean square … error are false because they are typically based on the introduction of dynamics, hence a random walk component, commonly …