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Forecasting with periodic autoregressive time series models

By Ph.H.B.F. Franses and R. Paap


This paper 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 illustrate the models for various quarterly UK consumption series.Forecasting;periodic autoregressive time series models

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