EconPapers    
Economics at your fingertips  
 

Forecasting Seasonal UK Consumption Components

Michael Clements and Jeremy Smith

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics

Abstract: Periodic models for seasonal data allow the parameters of the model to vary across the different seasons. This paper uses the components of UK consumption to see whether the periodic autoregressive (PAR) model yields more accurate forecasts than non-periodic models, such as the airline model of Box and Jenkins (1970), and autoregressive models that pre-test for (seasonal) unit roots. We analyze possible explanations for the relatively poor forecast performance of the periodic models that we find, notwithstanding the apparent support such models receive from the data-in-sample.

Date: 1997
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://warwick.ac.uk/fac/soc/economics/research/w ... 95-1998/twerp479.pdf

Related works:
Working Paper: FORECASTING SEASONAL UK CONSUMPTION COMPONENTS (1997) Downloads
Working Paper: Forecasting Seasonal UK Consumption Components (1997) Downloads
Working Paper: Forecasting Seasonal UK Consumption Components (1997) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wrk:warwec:479

Access Statistics for this paper

More papers in The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Margaret Nash ().

 
Page updated 2019-08-07
Handle: RePEc:wrk:warwec:479