Modelling Seasonal Dynamics in Indian Industrial Production--An Extention of TV-STAR Model
This paper models the seasonal dynamics in quarterly industrial production for India. For this, we extend the time-varying smooth transition autoregression (TV-STAR) model to allow for independent regime-switching behaviour in the deterministic seasonal and cyclical components. This yields the time-varying seasonal smooth transition (TV-SEASTAR) model. We find evidence of the effect of rainfall growth on seasonal dynamics of industrial production. We also find that the seasonal dynamics have changed over the past decade, one aspect of this being the significant narrowing down of seasonals. The timing of these changes coincides with the changes in the character of the economy as it progressed towards a free-market economy in the post liberalization period.
|Date of creation:||Aug 2007|
|Date of revision:|
|Contact details of provider:|| Postal: Delhi 110 007|
Phone: (011) 27667005
Fax: (011) 27667159
Web page: http://www.cdedse.org/
More information through EDIRC
|Order Information:|| Web: http://www.cdedse.org/ Email: |
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.:
- Miron, J.A., 1988.
"A Cross-Country Comparaison Of Seasonal Cycles And Business Cycles,"
89-07, Michigan - Center for Research on Economic & Social Theory.
- Beaulieu, J Joseph & Miron, Jeffrey A, 1992. "A Cross Country Comparison of Seasonal Cycles and Business Cycles," Economic Journal, Royal Economic Society, vol. 102(413), pages 772-88, July.
- J. Joseph Beaulieu & Jeffrey A. Miron, 1990. "A Cross Country Comparison of Seasonal Cycles and Business Cycles," NBER Working Papers 3459, National Bureau of Economic Research, Inc.
- J. Joseph Beaulieu & Jeffrey A. Miron, 1991. "A Cross Country Comparison of Seasonal Cycles and Business Cycles," Papers 0011, Boston University - Industry Studies Programme.
- Sunil Kanwar, 1996.
"Does The Dog Wag The Tail Or The Tail The Dog? Cointegration Of Indian Agriculture With Non-Agriculture,"
35, Centre for Development Economics, Delhi School of Economics.
- Kanwar, Sunil, 2000. "Does the Dog Wag the Tail or the Tail the Dog? Cointegration of Indian Agriculture with Nonagriculture," Journal of Policy Modeling, Elsevier, vol. 22(5), pages 533-556, September.
- Matas-Mir, Antoni & Denise R Osborn, 2002.
"Does Seasonality Change over the Business Cycle? An Investigation using Monthly Industrial Production Series,"
Royal Economic Society Annual Conference 2002
139, Royal Economic Society.
- Matas-Mir, Antonio & Osborn, Denise R., 2004. "Does seasonality change over the business cycle? An investigation using monthly industrial production series," European Economic Review, Elsevier, vol. 48(6), pages 1309-1332, December.
- A Matas-Mir & D R Osborn, 2001. "Does Seasonality Change Over the Business Cycle? An Investigation Using Monthly Industrial Production Series," The School of Economics Discussion Paper Series 0110, Economics, The University of Manchester.
- D R Osborn & A Matas-Mir, 2001. "Does Seasonality Change over the Business Cycle? An Investigation using Monthly Industrial Production Series," Centre for Growth and Business Cycle Research Discussion Paper Series 09, Economics, The Univeristy of Manchester.
- Pami Dua & Anirvan Banerji, 2012. "Business And Growth Rate Cycles In India," Working papers 210, Centre for Development Economics, Delhi School of Economics.
- Cecchetti, Stephen G & Kashyap, Anil K & Wilcox, David W, 1997.
"Interactions between the Seasonal and Business Cycles in Production and Inventories,"
American Economic Review,
American Economic Association, vol. 87(5), pages 884-92, December.
- Stephen G. Cecchetti & Anil K. Kashyap & David W. Wilcox, 1997. "Interactions between the seasonal and business cycles in production and inventories," Working Paper Series, Macroeconomic Issues WP-97-06, Federal Reserve Bank of Chicago.
- Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De.
- Pami Dua & Lokendra Kumawat, 2005.
"Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series,"
136, Centre for Development Economics, Delhi School of Economics.
- Pami Dua & Lokendra Kumawat, 2010. "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working Papers id:3005, eSocialSciences.
- Eitrheim, Øyvind & Teräsvirta, Timo, 1995.
"Testing the Adequacy of Smooth Transition Autoregressive Models,"
SSE/EFI Working Paper Series in Economics and Finance
56, Stockholm School of Economics.
- Eitrheim, Oyvind & Terasvirta, Timo, 1996. "Testing the adequacy of smooth transition autoregressive models," Journal of Econometrics, Elsevier, vol. 74(1), pages 59-75, September.
- Franses, Ph.H.B.F. & de Bruin, P. & van Dijk, D.J.C., 2000. "Seasonal smooth transition autoregression," Econometric Institute Research Papers EI 2000-06/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Cecchetti, Stephen G. & Kashyap, Anil K, 1996.
European Economic Review,
Elsevier, vol. 40(2), pages 331-360, February.
When requesting a correction, please mention this item's handle: RePEc:cde:cdewps:162. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sanjeev Sharma)
If references are entirely missing, you can add them using this form.