Forecasting Seasonal UK Consumption Components

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Forecasting Seasonal UK Consumption Components

Author Info

Clements, M.P.
Smith, J.

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Abstract

Periodic models for seasonal data allow the parameters of the model to vary across the different seasons. This paper uses the components of UK consumption to see whether the periodic autoregressive (PAR) model yields more accurate forecasts than non-periodic models, such as the airline model of Box and Jenkins (1970), and the autoregressive models that pre-test for (seasonal) unit roots. We analyze possible explanations for the relatively poor forecast performance of the periodic models that we find, notwithstanding the apparent support such models receive from the data in-sample.

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Publisher Info
Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 487.

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Length: 31 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:wrk:warwec:487

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Paper
- Clements, Michael & Smith, Jeremy, 1997. "Forecasting Seasonal UK Consumption Components," The Warwick Economics Research Paper Series (TWERPS) 479, University of Warwick, Department of Economics.

Find related papers by JEL classification:
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

References listed on IDEAS
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Other versions:
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Other versions:
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