Location of Repository

Forecasting with periodic autoregressive time series models

By Ph.H.B.F. Franses and R. Paap

Abstract

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

OAI identifier:

Suggested articles

Preview


To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.