Forecasting performance of seasonal cointegration models
✍ Scribed by Mårten Löf; Johan Lyhagen
- Book ID
- 114174682
- Publisher
- Elsevier Science
- Year
- 2002
- Tongue
- English
- Weight
- 176 KB
- Volume
- 18
- Category
- Article
- ISSN
- 0169-2070
No coin nor oath required. For personal study only.
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## Abstract This paper investigates Bayesian forecasts for some cointegrated time series data. Suppose data are derived from some cointegrated model, but, an unrestricted vector autoregressive model, without including cointegrated conditions, is fitted; the implication of using an incorrect model w
In this paper we focus on the eect of (i) deleting, (ii) restricting or (iii) not restricting seasonal intercept terms on forecasting sets of seasonally cointegrated macroeconomic time series for Austria, Germany and the UK. A ®rst empirical result is that the number of cointegrating vectors as well