The Performance of Periodic Autoregressive Models in Forecasting Seasonal U.K. Consumption

Denise R. Osborn · Jeremy P Smith

114 citations0/0 files storedJournal of Business and Economic Statistics

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Forecasting Techniques and Applications Time Series Analysis and Forecasting Statistical and numerical algorithms

Abstract

The parameters of a periodic model are allowed to vary according to the time at which observations are made. Periodic autoregressive models are fitted to the quarterly values of seasonally unadjusted real nondurable consumers' expenditure for the United Kingdom and its components. The periodic model offers no improvement over conventional specifications if the aggregate is modeled directly. On the other hand, periodic models generally perform well for the components, which contain additional seasonal information. The choice between a periodic or nonperiodic specification is also shown to have an important influence on the resulting dynamic properties.

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References

1978Seasonal Analysis of Economic Time Series 1988Seasonality and habit persistence in a life cycle model of consumption 1984Forecasting Contemporaneously Aggregated Vector ARMA Processes 1974Stochastic Specification in an Aggregate Demand Model of the United Kingdom

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