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Forecasting Seasonal UK Consumption Components

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Abstract

Periodic models for seasonal data allow the parameters of the model to vary across the different seasons. This paper uses the components of UK consumption to see whether the periodic autoregressive (PAR) model yields more accurate forecasts than non-periodic models, such as the airline model of Box and Jenkins (1970), and the autoregressive models that pre-test for (seasonal) unit roots. We analyze possible explanations for the relatively poor forecast performance of the periodic models that we find, notwithstanding the apparent support such models receive from the data in-sample.

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  • Clements, M.P. & Smith, J., 1997. "Forecasting Seasonal UK Consumption Components," The Warwick Economics Research Paper Series (TWERPS) 487, University of Warwick, Department of Economics.
    • Handle: RePEc:wrk:warwec:487
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    Keywords

    SEASONAL FLUCTUATIONS;

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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