Philip Hans Franses, Richard Paap
Abstract
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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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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.
Key concepts: Autoregressive model, Univariate, Series (stratigraphy), STAR model, Econometrics, Autoregressive integrated moving average, Time series, SETAR