Forecasting with periodic autoregressive time series models
AbstractThis 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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Bibliographic InfoPaper provided by Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute in its series Econometric Institute Research Papers with number EI 9927-/A.
Date of creation: 01 Jan 1999
Date of revision:
Forecasting; periodic autoregressive time series models;
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