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
On forecasting cointegrated seasonal time series
✍ Scribed by Mårten Löf; Philip Hans Franses
- Book ID
- 114174665
- Publisher
- Elsevier Science
- Year
- 2001
- Tongue
- English
- Weight
- 101 KB
- Volume
- 17
- Category
- Article
- ISSN
- 0169-2070
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