The univariate quarterly Dutch series of industrial production and money stock are both modelled with a periodically integrated subset autoregression (PISA). This model for a non-stationary series allows the lag orders, the values of the parameters and the cyclical patterns to vary over the seasons. The PISA models are found by applying a general-to-simple specification strategy, which deals with non-stationarity and periodicity simultaneously. It is found that the two series show a common asymmetric cyclical behaviour. This paper further proposes a test for periodicity in the errors, with which it is argued that a non-periodic model for the industrial production and money stock is misspecified and that seasonal adjustment does not remove periodicity in the autocorrelation function.

Dutch industry, non-stationary seasonal time series, periodicity, seasonal adjustment
dx.doi.org/10.1002/for.3980120706, hdl.handle.net/1765/2075
Journal of Forecasting
Erasmus School of Economics

Franses, Ph.H.B.F. (1993). Periodically integrated subset autoregressions for Dutch industrial production and money stock. Journal of Forecasting, 601–613. doi:10.1002/for.3980120706