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Forecasting seasonal UK consumption components
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Clements, Michael P. and Smith, Jeremy (1997) Forecasting seasonal UK consumption components. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.487).
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Official URL: http://www2.warwick.ac.uk/fac/soc/economics/resear...
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) | ||||
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Subjects: | H Social Sciences > HB Economic Theory D History General and Old World > DA Great Britain |
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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 | ||||
Official Date: | 12 June 1997 | ||||
Dates: |
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Number: | No.487 | ||||
Number of Pages: | 31 | ||||
Institution: | University of Warwick | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Funder: | Economic and Social Research Council (Great Britain) (ESRC) | ||||
Grant number: | L116251015 (ESRC) |
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