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Forecasting with Period Autoregressive Time Series Models

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Author Info
Franses, P.H.
Paap, R.

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Abstract

This 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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Publisher Info
Paper provided by Erasmus University of Rotterdam - Econometric Institute in its series Papers with number 9927/a.

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Length: 27 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:fth:erroem:9927/a

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Related research
Keywords: FORECASTS TIME SERIES ECONOMIC MODELS

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Find related papers by JEL classification:
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Boswijk, H. Peter & Franses, Philip Hans & Haldrup, Niels, 1997. "Multiple unit roots in periodic autoregression," Journal of Econometrics, Elsevier, vol. 80(1), pages 167-193, September. [Downloadable!] (restricted)
    Other versions:
  2. Franses, Philip Hans & Paap, Richard, 1994. "Model Selection in Periodic Autoregressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(4), pages 421-39, November.
  3. Osborn, Denise R., 1991. "The implications of periodically varying coefficients for seasonal time-series processes," Journal of Econometrics, Elsevier, vol. 48(3), pages 373-384, June. [Downloadable!] (restricted)
  4. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  5. Richard Paap & Philip Hans Franses, 1999. "On trends and constants in periodic autoregressions," Econometric Reviews, Taylor and Francis Journals, vol. 18(3), pages 271-286. [Downloadable!] (restricted)
  6. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238. [Downloadable!] (restricted)
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  7. Franses, Philip Hans, 1996. " Recent Advances in Modelling Seasonality," Journal of Economic Surveys, Blackwell Publishing, vol. 10(3), pages 299-345, September.
  8. Novales, Alfonso & de Fruto, Rafael Flores, 1997. "Forecasting with periodic models A comparison with time invariant coefficient models," International Journal of Forecasting, Elsevier, vol. 13(3), pages 393-405, September. [Downloadable!] (restricted)
  9. Helmut Herwartz, 1999. "Performance of periodic time series models in forecasting," Empirical Economics, Springer, vol. 24(2), pages 271-301. [Downloadable!] (restricted)
  10. Philip Hans Franses, 1994. "Multi-Step Forecast Error Variances for Periodically Integrated Time Series," University of California at San Diego, Economics Working Paper Series 94-01, Department of Economics, UC San Diego.
  11. Osborn, Denise R & Smith, Jeremy P, 1989. "The Performance of Periodic Autoregressive Models in Forecasting Seasonal U. K. Consumption," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 117-27, January.
  12. Clements, M.P. & Hendry, D., 1992. "On the Limitations of Comparing Mean Square Forecast Errors," Economics Series Working Papers 99138, University of Oxford, Department of Economics.
  13. Herwartz, Helmut, 1997. "Performance of periodic error correction models in forecasting consumption data," International Journal of Forecasting, Elsevier, vol. 13(3), pages 421-431, September. [Downloadable!] (restricted)
  14. Osborn, Denise R, 1988. "Seasonality and Habit Persistence in a Life Cycle Model of Consumptio n," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(4), pages 255-66, October-D. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. P.H. Franses & D. Van Dijk, 2001. "The Forecasting Performance of Various Models for Seasonality and Nonlinearity for Quarterly Industrial Production," Econometric Institute Report 222, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:
  2. virginie terraza & stephane mussard, 2007. "New trading risk indexes: application of the shapley value in finance," Economics Bulletin, Economics Bulletin, vol. 3(25), pages 1-7. [Downloadable!]
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