Forecasting performance of seasonal cointegration models

International Journal of Forecasting

Volumn 18, Issue 1, 2002, Pages 31-44

  Lof, Mårten ^a   Lyhagen, Johan ^a  

^a STOCKHOLM SCHOOL OF ECONOMICS   (Sweden)

Author keywords

Monte Carlo; Seasonal cointegration

Indexed keywords

EID: 0036146782     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0169-2070(01)00105-4     Document Type: Article

References (14)

1. Identifiability of cointegrated systems
2. On the role of seasonal intercepts in seasonal cointegration
3. Seasonal integration and cointegration
4. Statistical analysis of cointegration vectors
5. Likelihood-based inference in cointegrated vector autoregressive models
6. Likelihood analysis of seasonal cointegration
7. Seasonal cointegration, common seasonals, and forecasting seasonal series
8. Seasonal cointegration in macro-economic systems: Case studies for small and large European countries
9. The impact of seasonal constants oncasting seasonally cointegrated time series
10. Cointegration in a macroeconomic system
11. Maximum likelihood inference on cointegration and seasonal cointegration
12. A note on the critical values for the maximum likelihood (seasonal) cointegration tests
13. Forecasting of seasonal cointegrated processes
14. Business cycles, seasonal cycles and common trends