Title
Seasonality, Nonstationarity and the Structural Forecasting of the Index of Industrial Production
Document Type
Working Paper
Publication Date
2001
College/Unit
Regional Research Institute
Document Number
RESEARCH PAPER 2001-2
Department/Program/Center
Regional Research Institute
Abstract
In this paper we focus on two ‘STS’ models suitable for forecasting the index of industrial production. The first model requires that the index be transformed with a first and seasonal difference filters. The second model considers the index in its second difference filter, while seasonality is modeled with a constant and seasonal dummy variables. Tests designed to discriminate empirically between these two models are also conducted. Our results prefer the performance of the second model, particularly when the conventional ML estimation procedure is replaced by the ALS procedure. This process together with appropriate seasonal adjustment advances the possibility of using the suggested index forecasts to help to predict business cycle turning points.
Digital Commons Citation
Kouassi, Eugene; Labys, Walter C.; and Aka, François B., "Seasonality, Nonstationarity and the Structural Forecasting of the Index of Industrial Production" (2001). Regional Research Institute Working Papers. 153.
https://researchrepository.wvu.edu/rri_pubs/153