Hi there,



I'm a bit confused about which command should I use when performing an out-of-sample forecast using random walk. I have som time sereis data from 1957Q1 to 2011Q4, I want to use a fraction of data from 1960Q1 to 1984Q4 to forecast data from 1985Q1 onwards using random walk model and evaluate the forecasting performance based on the true data I have. I used rwf command from 'forecast' package to do this. However, the results I obtained is all around the value of 1984Q4, which is quite different from the true data that shows an increasing trend with time. Could you me give some suggestions on which command should I choose to perform the random walk forecast and get the Mean Squared Forecast Error and Mean Absolute Error of the forecast? It would be really helpful if you can reply as soon as possible since I'm urgently need this. Thanks a lot.



Kind Regards,



Lavender

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