Forecasting with Periodic Autoregressive Time Series Models
نویسندگان
چکیده
This chapter is concerned with forecasting univariate seasonal time series data using periodic autoregressive models We show how one should account for unit roots and deterministic terms when generating out of sample forecasts We illus trate the models for various quarterly UK consumption series This is the rst version July of a chapter that is to be prepared for potential inclusion in the Companion to Economic Forecasting edited by Michael Clements and David Hendry Oxford Basil Blackwell We wish to thank Jeremy Smith for his help with collecting the data Address for correspondence Philip Hans Franses Erasmus University Rotterdam Econometric In stitute P O Box NL DR Rotterdam The Netherlands e mail franses few eur nl
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