Forecasting with periodic autoregressive time-series models, in A Companion to Economic Forecasting

This chapter is concerned with forecasting univariate seasonal time series data using periodic autoregressive models We show how one should account for unit roots and deterministic terms when generating outofsample forecasts We illus trate the models for various quarterly UK consumption series This is the rst version July of a chapter that is to be prepared for potential inclusion in the Companion to Economic Forecasting edited by Michael Clements and David Hendry Oxford Basi