For many time series, particularly prices in speculative markets, the random walk model has been found to
Question:
xt = xt-1 + εt
Show that, if this model is appropriate, forecasts of xn+h, standing at time n, are given by
x`n+h = xn (h = 1, 2, 3, c)
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Related Book For
Statistics For Business And Economics
ISBN: 9780132745659
8th Edition
Authors: Paul Newbold, William Carlson, Betty Thorne
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