Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series
Published By: CDE on eSS | Published Date: July, 08 , 2005This paper models the univariate dynamics of seasonally unadjusted quarterly
macroeconomic time series for the Indian economy including industrial production,
money supply (broad and narrow measures) and consumer price index. The seasonal integration-cointegration and the periodic models are employed. The ‘best’ model is selected on the basis of a battery of econometric tests including comparison of out-of sample forecast performance. [Working Paper No. 136]
Author(s): Pami Dua, Lokendra Kumawat | Posted on: Oct 08, 2010 | Views(1139) | Download (738)