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Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series

  • Pami Dua

    ()

  • Lokendra Kumawat

    ()

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This paper models the univariate dynamics of seasonally unadjusted quarterly macroeconomic time series for the Indian economy including industrial production, money supply (broad and narrow measures) and consumer price index. The seasonal integration-cointegration and the periodic models are employed. The ‘best’ model is selected on the basis of a battery of econometric tests including comparison of out-of sample forecast performance. [Working Paper No. 136]

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Date of creation: Oct 2010
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Handle: RePEc:ess:wpaper:id:3005
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