论文信息 - The Performance of Periodic Autoregressive Models in Forecasting Seasonal U.K. Consumption

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

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.

D. Osborn | Jeremy P. Smith

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