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.

Additional Metadata
Keywords Forecasting, periodic autoregressive time series models
Persistent URL hdl.handle.net/1765/1598
Series Econometric Institute Research Papers
Citation
Franses, Ph.H.B.F, & 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