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Random‐coefficient periodic autoregressions

  • Philip Hans Franses
  • Richard Paap

We propose a new periodic autoregressive model for seasonally observed time series, where the number of seasons can potentially be very large. The main novelty is that we collect the periodic parameters in a second-level stochastic model. This leads to a random-coefficient periodic autoregression with a substantial reduction in the number of parameters to be estimated. We discuss representation, estimation, and inference. An illustration for monthly growth rates of US industrial production shows the merits of the new model specification.

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File URL: http://hdl.handle.net/10.1111/j.1467-9574.2010.00477.x
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Article provided by Netherlands Society for Statistics and Operations Research in its journal Statistica Neerlandica.

Volume (Year): 65 (2011)
Issue (Month): 1 (02)
Pages: 101-115

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Handle: RePEc:bla:stanee:v:65:y:2011:i:1:p:101-115
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  1. repec:cup:cbooks:9780521565882 is not listed on IDEAS
  2. Philip Hans Franses & Richard Paap, 1994. "Model Selection In Periodic Autoregressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(4), pages 421-439, November.
  3. Helmut Herwartz, 1999. "Performance of periodic time series models in forecasting," Empirical Economics, Springer, vol. 24(2), pages 271-301.
  4. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, March.
  5. Wolak, Frank A., 1989. "Local and Global Testing of Linear and Nonlinear Inequality Constraints in Nonlinear Econometric Models," Econometric Theory, Cambridge University Press, vol. 5(01), pages 1-35, April.
  6. Franses, Philip Hans & Paap, Richard, 2004. "Periodic Time Series Models," OUP Catalogue, Oxford University Press, number 9780199242030, March.
  7. repec:cup:cbooks:9780521562607 is not listed on IDEAS
  8. Franses, Philip Hans, 1994. "A multivariate approach to modeling univariate seasonal time series," Journal of Econometrics, Elsevier, vol. 63(1), pages 133-151, July.
  9. 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.
  10. 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.
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