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The Performance of Periodic Autoregressive Models in Forecasting Seasonal U. K. Consumption

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  • Osborn, Denise R
  • Smith, Jeremy P

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  • 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 117-127, January.
  • Handle: RePEc:bes:jnlbes:v:7:y:1989:i:1:p:117-27
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    Cited by:

    1. Eric Ghysels, 1993. "A time series model with periodic stochastic regime switching," Discussion Paper / Institute for Empirical Macroeconomics 84, Federal Reserve Bank of Minneapolis.
    2. Yorghos Tripodis & Jeremy Penzer, 2009. "Modelling time series with season-dependent autocorrelation structure," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 559-574.
    3. Ghysels, Eric, 1994. "On the Periodic Structure of the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 289-298, July.
    4. Luis A. Gil-Alana & Juncal Cunado & Fernando Perez de Gracia, 2008. "Tourism in the Canary Islands: forecasting using several seasonal time series models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 621-636.
    5. Franses, Philip Hans & van Dijk, Dick, 2005. "The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production," International Journal of Forecasting, Elsevier, vol. 21(1), pages 87-102.
    6. Eiji Kurozumi, 2002. "Testing For Periodic Stationarity," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 243-270.
    7. Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2009. "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(5), pages 683-713, October.
    8. Christian Francq & Roch Roy & Abdessamad Saidi, 2011. "Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(6), pages 699-723, November.
    9. Phillips, Peter C B & Xiao, Zhijie, 1998. " A Primer on Unit Root Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 423-469, December.
    10. Clements, Michael & Smith, Jeremy, 1997. "Forecasting Seasonal UK Consumption Components," The Warwick Economics Research Paper Series (TWERPS) 479, University of Warwick, Department of Economics.
    11. Tim Bollerslev & Eric Ghysels, 1994. "On Periodic Autogressive Conditional Heteroskedasticity," CIRANO Working Papers 94s-03, CIRANO.
    12. Philip Hans Franses & Richard Paap, 2011. "Random‐coefficient periodic autoregressions," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 65(1), pages 101-115, February.
    13. Bollerslev, Tim & Ghysels, Eric, 1996. "Periodic Autoregressive Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-151, April.
    14. Jeffrey A. Miron, 1996. "The Economics of Seasonal Cycles," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262133237, January.
    15. Lenart, Łukasz, 2013. "Non-parametric frequency identification and estimation in mean function for almost periodically correlated time series," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 252-269.
    16. Łukasz Lenart, 2017. "Examination of Seasonal Volatility in HICP for Baltic Region Countries: Non-Parametric Test versus Forecasting Experiment," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 9(1), pages 29-67, March.
    17. Jeremy Penzer & Yorghos Tripodis, 2007. "Single-season heteroscedasticity in time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(3), pages 189-202.
    18. Eugen Ursu & Pierre Duchesne, 2009. "Estimation and model adequacy checking for multivariate seasonal autoregressive time series models with periodically varying parameters," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 63(2), pages 183-212.
    19. Richard M. Todd, 1989. "Periodic linear-quadratic methods for modeling seasonality," Staff Report 127, Federal Reserve Bank of Minneapolis.
    20. Łukasz Lenart & Mateusz Pipień, 2015. "Empirical Properties of the Credit and Equity Cycle within Almost Periodically Correlated Stochastic Processes - the Case of Poland, UK and USA," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 7(3), pages 169-186, September.

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