Performance of periodic error correction models in forecasting consumption data

Performance of periodic error correction models in forecasting consumption data

0.00 Avg rating0 Votes
Article ID: iaor19991015
Country: Netherlands
Volume: 13
Issue: 3
Start Page Number: 421
End Page Number: 431
Publication Date: Jul 1997
Journal: International Journal of Forecasting
Authors:
Keywords: seasonality
Abstract:

Periodic time series models have become an appealing tool for the analysis of seasonal time series. Since these models condition the data-generating process on the season they are able to cope with periodic generalisations of economic models with seasonal preferences and seasonal technologies. This paper examines the forecasting performance of alternative specifications of a periodic error-correction model for the relation between consumption and income. Estimation and forecasting exercises are performed for data from the United Kingdom, Sweden, Germany and Japan.

Reviews

Required fields are marked *. Your email address will not be published.