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Forecasting Seasonal UK Consumption Components

Michael Clements and J. Smith
Authors registered in the RePEc Author Service: James P. Smith () 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 the 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.

Keywords: SEASONAL; FLUCTUATIONS (search for similar items in EconPapers)
JEL-codes: C52 (search for similar items in EconPapers)
Date: 1997
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https://warwick.ac.uk/fac/soc/economics/research/workingpapers/2008/seasjs3.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
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Persistent link: https://EconPapers.repec.org/RePEc:wrk:warwec:487

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