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.

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