Forecasting with periodic autoregressive time series models

This paper is concerned with forecasting univariate seasonal time series data using periodic autoregressive models. We show how one should account for unit roots and deterministic terms when generating out-of-sample forecasts. We illustrate the models for various quarterly UK consumption series.

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Year of publication:	1999-01-01
Authors:	Franses, Philip Hans ; Paap, Richard
Institutions:	Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
Subject:	Forecasting \| periodic autoregressive time series models

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Extent:	application/pdf
Series:	Econometric Institute Research Papers. - ISSN 1566-7294.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series RePEc:ems:eureir Number EI 9927-/A
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010731727