In this paper we propose a model for monthly inflation with stochastic trend, seasonal and transitory components with QGARCH disturbances. This model distinguishes whether the long-run or short-run components are heteroscedastic. Furthermore, the uncertainty associated with these components may...

Empirical studies have shown little evidence to support the presence of all unit roots present in the filter in quarterly seasonal time series. This paper analyses the performance of the Hylleberg, Engle, Granger and Yoo (1990) (HEGY) procedure when the roots under the null are not all present....

In this paper, we compare the forecasting performance of seasonal and non linear autoregressive models in terms of point, interval, and density forecasts for the growth rates of the Tunisian industrial production, for the period 1976:1- 2006:2. Our results suggest that the point forecasts...

For many economic time-series variables that are observed regularly and frequently, for example weekly, the underlying activity is not distributed uniformly across the year. For the aim of predicting annual data, one may consider temporal aggregation into larger subannual units based on an...

We propose a discussion index model (Stock and Watson, 2002) to fore- cast electricity demand for one hour to one week ahead. The model is particularly useful as it captures complicated seasonal patterns in the data. The forecast performance of the proposed method is illustrated with a simulated...

In this paper we propose a Bayesian analysis of seasonal unit roots in quarterly observed time series. Seasonal unit root processes are useful to describe economic series with changing seasonal fluctuations. A natural alternative model for similar purposes contains deterministic seasonal mean...