Clements, Michael P. and Smith, Jeremy (Jeremy P.) (1997) Forecasting seasonal UK consumption components. Working Paper. University of Warwick, Department of Economics, Coventry.

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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 analyse 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.

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	H Social Sciences > HB Economic Theory D History General and Old World > DA Great Britain
Divisions:	Faculty of Social Sciences > Economics
Library of Congress Subject Headings (LCSH):	Consumption (Economics) -- Great Britain, Consumption (Economics) -- Mathematical models, Seasonal variations (Economics) -- Great Britain, Economic forecasting, Periodic functions
Series Name:	Warwick economic research papers
Publisher:	University of Warwick, Department of Economics
Place of Publication:	Coventry
Date:	12 June 1997
Number:	No.487
Number of Pages:	31
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access
Funder:	Economic and Social Research Council (Great Britain) (ESRC)
Grant number:	L116251015 (ESRC)
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URI:	http://wrap.warwick.ac.uk/id/eprint/1662

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