Butter, Frank A. G. den; Jansen, Pieter W. - 2008 - This version 27 October 2008
is compared using out of sample forecast errors, where a random walk forecast acts as benchmark. It is found that for … approaches do not outperform the random walk, or a somewhat more sophisticated time series model, on a 3 month forecast horizon …. On a 12 month forecast horizon the random walk model can be outperformed by a model that combines economic data and …