Forecasting with Period 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
Authors:	Franses, P.H. ; Paap, R.
Institutions:	Econometrisch Instituut, Faculteit der Economische Wetenschappen
Subject:	FORECASTS \| TIME SERIES \| ECONOMIC MODELS

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Series:	Erasmus University of Rotterdam - Econometric Institute.
Type of publication:	Book / Working Paper
Notes:	27 pages
Classification:	C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005625214