Mean Shifts, Unit Roots and Forecasting Seasonal Time Series

A1.89 WP 9609/A

Posted: 14 Jan 1998

See all articles by Richard Paap

Richard Paap

Erasmus University Rotterdam (EUR) - Department of Econometrics; Tinbergen Institute; Erasmus Research Institute of Management (ERIM)

Philip Hans Franses

Erasmus University Rotterdam (EUR) - Department of Econometrics

H. Hoek

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Date Written: 1996

Abstract

Changing seasonal patterns in economic time series can be described by auregressive models with seasonal unit roots or with deterministic sesaonal mean shifts.By means of simulation we demonstrate the impact of imposing the incorrect model on forecasting. We find for both cases that an inappropriate decision can deteriorate forecasting performance dramatically.

JEL Classification: C20; C22

Suggested Citation

Paap, Richard and Franses, Philip Hans and Hoek, H., Mean Shifts, Unit Roots and Forecasting Seasonal Time Series (1996). A1.89 WP 9609/A. Available at SSRN: https://ssrn.com/abstract=52860

Richard Paap

Erasmus University Rotterdam (EUR) - Department of Econometrics ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands

Tinbergen Institute ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands

Erasmus Research Institute of Management (ERIM) ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands

Philip Hans Franses (Contact Author)

Erasmus University Rotterdam (EUR) - Department of Econometrics ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31 10 408 1278 (Phone)
+31 10 408 9162 (Fax)

H. Hoek

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands

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