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Model Selection in Periodic Autoregressions

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  • Franses, Philip Hans
  • Paap, Richard

Abstract

In this paper, the authors analyze a model selection strategy for periodic autoregressive time-series processes. It involves autoregressive order selection and tests for unit roots at the (non-)seasonal frequencies. The strategy is evaluated using Monte Carlo replications and it is applied to several quarterly U.K. macroeconomic time series. Copyright 1994 by Blackwell Publishing Ltd

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Bibliographic Info

Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 56 (1994)
Issue (Month): 4 (November)
Pages: 421-39

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Handle: RePEc:bla:obuest:v:56:y:1994:i:4:p:421-39

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Cited by:
  1. Evans, Mark, 2006. "A study of the relationship between regional ferrous scrap prices in the USA, 1958-2004," Resources Policy, Elsevier, Elsevier, vol. 31(2), pages 65-77, June.
  2. Lawrence J. Christiano & Richard M. Todd, 2000. "The Conventional Treatment of Seasonality in Business Cycle Analysis: Does it Create Distortions?," NBER Technical Working Papers 0266, National Bureau of Economic Research, Inc.
  3. Philip Hans Franses & Richard Paap, 2011. "Random‐coefficient periodic autoregressions," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, Netherlands Society for Statistics and Operations Research, vol. 65(1), pages 101-115, 02.
  4. Herwartz, Helmut, 1997. "Performance of periodic error correction models in forecasting consumption data," International Journal of Forecasting, Elsevier, Elsevier, vol. 13(3), pages 421-431, September.
  5. Boswijk, H. Peter & Franses, Philip Hans & Haldrup, Niels, 1997. "Multiple unit roots in periodic autoregression," Journal of Econometrics, Elsevier, Elsevier, vol. 80(1), pages 167-193, September.
  6. Sarnaglia, A.J.Q. & Reisen, V.A. & Lévy-Leduc, C., 2010. "Robust estimation of periodic autoregressive processes in the presence of additive outliers," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 101(9), pages 2168-2183, October.
  7. Pami Dua & Lokendra Kumawat, 2010. "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working Papers id:3005, eSocialSciences.
  8. Eiji Kurozumi, 2002. "Testing For Periodic Stationarity," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 21(2), pages 243-270.
  9. Franses, Ph.H.B.F. & Paap, R., 1999. "Forecasting with periodic autoregressive time series models," Econometric Institute Research Papers EI 9927-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  10. Breitung, Jorg & Franses, Philip Hans, 1997. "Impulse response functions for periodic integration," Economics Letters, Elsevier, Elsevier, vol. 55(1), pages 35-40, August.
  11. Franses, Philip Hans & McAleer, Michael, 1997. "Testing periodically integrated autoregressive models," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 43(3), pages 457-465.
  12. Franses, Philip Hans & Paap, Richard, 1995. "Moving average filters and periodic integration," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 39(3), pages 245-249.
  13. Clements, M.P. & Smith, J., 1997. "Forecasting Seasonal UK Consumption Components," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics 487, University of Warwick, Department of Economics.
  14. Novales, Alfonso & de Fruto, Rafael Flores, 1997. "Forecasting with periodic models A comparison with time invariant coefficient models," International Journal of Forecasting, Elsevier, Elsevier, vol. 13(3), pages 393-405, September.
  15. Franses, Philip Hans & Ooms, Marius, 1997. "A periodic long-memory model for quarterly UK inflation," International Journal of Forecasting, Elsevier, Elsevier, vol. 13(1), pages 117-126, March.
  16. Albertson, Kevin & Aylen, Jonathan, 2003. "Forecasting the behaviour of manufacturing inventory," International Journal of Forecasting, Elsevier, Elsevier, vol. 19(2), pages 299-311.
  17. Albertson, Kevin & Aylen, Jonathan, 1996. "Modelling the Great Lakes freeze: forecasting and seasonality in the market for ferrous scrap," International Journal of Forecasting, Elsevier, Elsevier, vol. 12(3), pages 345-359, September.
  18. Wells, J. M., 1997. "Modelling seasonal patterns and long-run trends in U.S. time series," International Journal of Forecasting, Elsevier, Elsevier, vol. 13(3), pages 407-420, September.

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