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Periodic Time Series Models
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Periodic Time Series Models

Philip Hans Franses and Richard Paap

Abstract

This book considers periodic time series models for seasonal data, characterized by parameters that differ across the seasons, and focuses on their usefulness for out-of-sample forecasting. Providing an up-to-date survey of the recent developments in periodic time series, the book presents a large number of empirical results. The first part of the book deals with model selection, diagnostic checking, and forecasting of univariate periodic autoregressive models. It discusses tests for periodic integration, and provides an extensive discussion of the role of deterministic regressors in testing f ... More

Keywords: seasonal time series, periodic autoregression, model specification, periodic integration, periodic cointegration, forecasting

Bibliographic Information

Print publication date: 2004 Print ISBN-13: 9780199242023
Published to Oxford Scholarship Online: August 2004 DOI:10.1093/019924202X.001.0001

Authors

Affiliations are at time of print publication.

Philip Hans Franses, author
Econometric Institute, Erasmus University, Rotterdam
Author Webpage

Richard Paap, author
Faculty of Economics, Erasmus University, Rotterdam
Author Webpage