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.

We develop a parsimonious panel model for quarterly regional house prices, for which both the cross-section and the time series dimension is large. The model allows for stochastic trends, cointegration, cross-equation correlations and, most importantly, latent-class clustering of regions. Class...

We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies of existing rank statistics, like: a Kronecker covariance matrix for the canonical correlation rank statistic of Anderson [Annals of Mathematical Statistics (1951), 22, 327–351] sensitivity to...

This discussion paper resulted in an article in the <I>Journal of Business & Economic Statistics</I> (2003). Volume 21, pages 547-563.<P> Stylized facts show that the average growth rates of US per capitaconsumption and income differ in recession and expansion periods.Since a linear combination of such...</p></i>

This paper revisits inflation forecasting using reduced-form Phillips curve forecasts, that is, inflation forecasts that use activity and expectations variables. We propose a Phillips-curve-type model that results from averaging across different regression specifications selected from a set of...

Using the standard linear model as a base, a unified theory of Bayesian Analyses of Cointegration Models is constructed. This is achieved by defining (natural conjugate) priors in the linear model and using the implied priors for the cointegration model. Using these priors, posterior results for...

We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies of existing rank statistics, like: necessity of a Kronecker covariance matrix for the canonical correlation rank statistic of Anderson (1951), sensitivity to the ordering of the variables for the...

We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies of existing rank statistics, like: a Kronecker covariance matrix for the canonical correlation rank statistic of Anderson [Annals of Mathematical Statistics (1951), 22, 327–351] sensitivity to...

Stylized facts show that the average growth rates of US per capita consumption and income differ in recession and expansion periods. Since a linear combination of such series does not have to be a constant mean process, standard cointegration analysis between the variables, to examine the...

This paper surveys recent developments related to the smooth transition autoregressive (STAR) time series model and several of its variants. We put emphasis on new methods for testing for STAR nonlinearity, model evaluation, and forecasting. Several useful extensions of the basic STAR model,...