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.

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hdl.handle.net/1765/1598
Econometric Institute Research Papers
Erasmus School of Economics

Franses, P. H., & Paap, R. (1999). Forecasting with periodic autoregressive time series models (No. EI 9927-/A). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/1598