Modelling Seasonal Dynamics in Indian Industrial Production--An Extention of TV-STAR Model
AbstractThis paper models the seasonal dynamics in quarterly industrial production for India. For this, we extend the time-varying smooth transition autoregression (TV-STAR) model to allow for independent regime-switching behaviour in the deterministic seasonal and cyclical components. This yields the time-varying seasonal smooth transition (TV-SEASTAR) model. We find evidence of the effect of rainfall growth on seasonal dynamics of industrial production. We also find that the seasonal dynamics have changed over the past decade, one aspect of this being the significant narrowing down of seasonals. The timing of these changes coincides with the changes in the character of the economy as it progressed towards a free-market economy in the post liberalization period.
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Bibliographic InfoPaper provided by Centre for Development Economics, Delhi School of Economics in its series Working papers with number 162.
Length: 23 pages
Date of creation: Aug 2007
Date of revision:
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-02-02 (All new papers)
- NEP-CWA-2008-02-02 (Central & Western Asia)
- NEP-ETS-2008-02-02 (Econometric Time Series)
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