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Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series

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  • Pami Dua

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  • Lokendra Kumawat

    ()

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Abstract

This paper models the univariate dynamics of seasonally unadjusted quarterly macroeconomic time series for the Indian economy including industrial production, money supply (broad and narrow measures) and consumer price index. The seasonal integration-cointegration and the periodic models are employed. The ‘best’ model is selected on the basis of a battery of econometric tests including comparison of out-of sample forecast performance. [Working Paper No. 136]

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Paper provided by eSocialSciences in its series Working Papers with number id:3005.

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Date of creation: Oct 2010
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Handle: RePEc:ess:wpaper:id:3005

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Keywords: Seasonality; Integration; Periodic Integration; Forecast Performance;

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References

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Cited by:
  1. Bukhari, Syed Kalim Hyder & Abdul, Jalil & Rao, Nasir Hamid, 2011. "Detection and Forecasting of Islamic Calendar Effects in Time Series Data: Revisited," MPRA Paper 31124, University Library of Munich, Germany.
  2. Kumawat, Lokendra, 2010. "Effect of Rainfall on Seasonals in Indian Manufacturing Production: Evidence from Sectoral Data," MPRA Paper 25300, University Library of Munich, Germany.

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