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: Random-Coefficient periodic autoregression
Abstract: We propose a new periodic autoregressive model for seasonally observed time series, where the number of seasons can potentially be very large. The main novelty is that we collect the periodic parameters in a second-level stochastic model. This leads to a random-coefficient periodic autoregression with a substantial reduction in the number of parameters to be estimated. We discuss representation, estimation, and inference. An illustration for monthly growth rates of US industrial production shows the merits of the new model specification.
Creation-Date: 2005-01-01
File-URL: https://repub.eur.nl/pub/6941/ei2005-34.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2005-34
Classification-JEL: C22, C51
Keywords: periodic autoregression, random coefficient model
Handle: RePEc:ems:eureir:6941