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Does it matter what I choose as the initial value for the random walk?

Basically I am trying to compare my forecast of my ECM to that of a random walk forecast. So do I just estimate a random walk for the same time period (using the method you suggested) and forecast it then compare RMSE MAPE etc?

Hi all, I've estimated various error correction models of which I've also done a 1 year ahead in-sample forecast. What I want to know is that since these ECMs are all forecasting different variables in different periods, can I still do a forecast evaluation and compare them with MAPE, MAE etc? Or is...

Anyone? Please? I think I figured it out but can someone please confirm? Under "Data Specification": 1) we use Random Walk when our data is in the levels so that Eviews differences the data to perform the VR Test 2) we use Exponential Random Walk when our data is in logs so that Eviews log...

Hi all, I need to perform a test for random walk hypothesis. I know how to carry out the test on e-views however, I'm not sure about some things and I think I keep getting wrong results. Firstly, I am using stock market returns (not levels). I read somewhere in the forum that we have to use the actu...