Forecasting with periodic autoregressive time series models

Philip Hans Franses and Richard Paap

No EI 9927-/A, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: 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.

Keywords: Forecasting; periodic autoregressive time series models (search for similar items in EconPapers)
Date: 1999-01-01
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:1598

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