Template-Type: ReDIF-Paper 1.0
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Author-Name: Paap, R.
Author-Name-Last: Paap
Author-Name-First: Richard
Author-Person: ppa494
Title: Forecasting with periodic autoregressive time series models
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.
Creation-Date: 1999-01-01
File-URL: https://repub.eur.nl/pub/1598/feweco19990708094947.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 9927-/A
Keywords: Forecasting, periodic autoregressive time series models
Handle: RePEc:ems:eureir:1598