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Modelling Seasonal Dynamics in Indian Industrial Production: An Extention of TV-STAR Model
, 2007
"... This paper models the seasonal dynamics in quarterly industrial production for India. For this, we extend the time-varying smooth transition autoregression (TV-STAR) model to allow for independent regime-switching behaviour in the deterministic seasonal and cyclical components. This yields the time- ..."
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This paper models the seasonal dynamics in quarterly industrial production for India. For this, we extend the time-varying smooth transition autoregression (TV-STAR) model to allow for independent regime-switching behaviour in the deterministic seasonal and cyclical components. This yields the time-varying seasonal smooth transition (TV-SEASTAR) model. We find evidence of the effect of rainfall growth on seasonal dynamics of industrial production. We also find that the seasonal dynamics have changed over the past decade, one aspect of this being the significant narrowing down of seasonals. The timing of these changes coincides with the changes in the character of the economy as it progressed towards a free-market economy in the post liberalization period. JEL Classification Code: C22
Studies in Nonlinear Dynamics and Econometrics Quarterly Journal
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subject to change without notice. Permission to photocopy articles for internal or personal use, or the internal or personal use of specific clients, is granted by the copyright owner for users registered with the Copyright Clearance Center (CCC) Transactional Reporting Service, provided that the per-copy fee of $10.00 per article is paid directly to the CCC,