Performance of periodic time series models in forecasting
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- Franses, Ph.H.B.F. & Paap, R., 1999. "Forecasting with periodic autoregressive time series models," Econometric Institute Research Papers EI 9927-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- 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.
- 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.
- 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.
- Franses, Ph.H.B.F. & van Dijk, D.J.C., 2001. "The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production," Econometric Institute Research Papers EI 2001-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
More about this item
KeywordsForecasting · periodic models · seasonality · unit roots;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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