Seasonal random walk

1. What is seasonal random walk?
2. What is a random walk process?
3. What is random walk in econometrics?
4. What is a random walk ARIMA model?

What is seasonal random walk?

If the seasonal difference (i.e., the season-to-season change) of a time series looks like stationary noise, this suggests that the mean (constant) forecasting model should be applied to the seasonal difference.

What is a random walk process?

A random walk is a stochastic process that consists of the sum of a sequence of changes in a random variable. These changes are uncorrelated with past changes, which means that there is no pattern to the changes in the random variable and these changes cannot be predicted.

What is random walk in econometrics?

A random walk implies that past price changes cannot forecast future price changes. However perhaps other information—but not past price changes—does permit the forecasting of future price changes. Hence perhaps the market is not efficient, even though the stock price does follow a random walk.

What is a random walk ARIMA model?

This is the so-called "random walk" model: it assumes that, from one period to the next, the original time series merely takes a random "step" away from its last recorded position.