Time-Series Using a Random-Walk and VAR

[John Lackle]

I am currently doing time-series forecasting for a vector autoregression (VAR) model. I am also graphing the forecast results to compare with observed data. However, I am wondering about how to also do a random-walk forecast over the same observed data. The questions I have are as follows:

1. How do I perform a random-walk?
2. How do I compare the root-mean-square error (RMSE) of the forecasted VAR and forecasted random-walk?
3. Am I able to graph my random-walk forecast?

Thanks and looking forward to hearing some input.

[Nick Cox]

Cross-posted at http://stackoverflow.com/questions/3...-a-random-walk

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[Artur Ngolo]

Any answer to this post? I am facing the same dificulty executing random walk forecasting in order to compare the accuracy with my VAR forecasting results.

* How do i perform a random walk forecast?

The cross-Post link you shared doesnt open anymore Nick Cox, could you please help in this question? Thank you

[Nick Cox]

#2 was just a comment to the poster of #1 about cross-posting. I don't have any answers here.