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.

periodic autoregression, random coefficient model
Time-Series Models; Dynamic Quantile Regressions (jel C22), Model Construction and Estimation (jel C51)
hdl.handle.net/1765/6941
Econometric Institute Research Papers
Report / Econometric Institute, Erasmus University Rotterdam
Erasmus School of Economics

Franses, Ph.H.B.F, & Paap, R. (2005). Random-Coefficient periodic autoregression (No. EI 2005-34). Report / Econometric Institute, Erasmus University Rotterdam. Retrieved from http://hdl.handle.net/1765/6941