Periodically integrated subset autoregressions for dutch industrial production and money stock
Year: 1993
Type: article
Abstract: The univariate quarterly Dutch series of industrial production and money stock are both modelled with a periodically integrated subset autoregression (PISA). This model for a non‐stationary series allows the lag orders, the values of the parameters and the cyclical patterns to vary over the seasons. The PISA models are found by applying a general‐to‐simple specification strategy, which deals with non‐stationarity and periodicity simultaneously. It is found that the two series show a common asymmetric cyclical behaviour. This paper further proposes a test for periodicity in the errors, with which it is argued that a non‐periodic model for the industrial production and money stock is misspecified and that seasonal adjustment does not remove periodicity in the autocorrelation function.
Source: Journal of Forecasting
Author: Philip Hans Franses
Institution: Erasmus University Rotterdam
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2139968568