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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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Cited by:
  1. Nasir Hamid Rao & Syed Kalim Hyder Bukhari & Abdul Jalil, 2011. "Detection and Forecasting of Islamic Calendar Effects in Time Series Data: Revisited," Working Papers id:4290, eSocialSciences.
  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.
  3. Pami Dua & Lokendra Kumawat, 2007. "Modelling Seasonal Dynamics in Indian Industrial Production--An Extention of TV-STAR Model," Working papers 162, Centre for Development Economics, Delhi School of Economics.

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