Modelling Seasonal Dynamics in Indian Industrial Production--An Extention of TV-STAR Model

Pami Dua and Lokendra Kumawat

No 162, Working papers from Centre for Development Economics, Delhi School of Economics

Abstract: This paper models the seasonal dynamics in quarterly industrial production for India. For this, we extend the time-varying smooth transition autoregression (TV-STAR) model to allow for independent regime-switching behaviour in the deterministic seasonal and cyclical components. This yields the time-varying seasonal smooth transition (TV-SEASTAR) model. We find evidence of the effect of rainfall growth on seasonal dynamics of industrial production. We also find that the seasonal dynamics have changed over the past decade, one aspect of this being the significant narrowing down of seasonals. The timing of these changes coincides with the changes in the character of the economy as it progressed towards a free-market economy in the post liberalization period.

Keywords: Seasonality; Smooth transition autoregression; Economic reforms. (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2007-08
New Economics Papers: this item is included in nep-cwa and nep-ets
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