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Seasonal Cointegration, Common Seasonals, and Forecasting Seasonal Series

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  • Kunst, Robert M

Abstract

Seasonal cointegration generalizes the idea of cointegration to processes with unit roots at frequencies different from 0. Here, "common seasonals," also a dual notion of common trends, is adopted for the seasonal case. The features are demonstrated in exemplary models for German and U.K. data. An evaluation of the predictive value of accounting for several cointegration shows that season cointegration may be difficult to exploit to improve predictive accuracy even in cases where seasonal no-cointegration is clearly rejected on statistical grounds. The findings from the real-world examples are corroborated by Monte Carlo simulation.

Suggested Citation

  • Kunst, Robert M, 1993. "Seasonal Cointegration, Common Seasonals, and Forecasting Seasonal Series," Empirical Economics, Springer, vol. 18(4), pages 761-776.
  • Handle: RePEc:spr:empeco:v:18:y:1993:i:4:p:761-76
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    Cited by:

    1. Lof, Marten & Hans Franses, Philip, 2001. "On forecasting cointegrated seasonal time series," International Journal of Forecasting, Elsevier, pages 607-621.
    2. Arnade, Carlos & Pick, Daniel, 1998. "Seasonality and unit roots: the demand for fruits," Agricultural Economics, Blackwell, pages 53-62.
    3. Méndez Parra, Maximiliano, 2015. "Futures prices, trade and domestic supply of agricultural commodities," Economics PhD Theses 0115, Department of Economics, University of Sussex.
    4. Wang, Zijun & Bessler, David A, 2002. "The Homogeneity Restriction and Forecasting Performance of VAR-Type Demand Systems: An Empirical Examination of US Meat Consumption," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(3), pages 193-206, April.
    5. Lof, Marten & Lyhagen, Johan, 2002. "Forecasting performance of seasonal cointegration models," International Journal of Forecasting, Elsevier, pages 31-44.
    6. Nga, Nguyen Thi Duong & Lantican, Flordeliza A., 1. "Spatial Integration of Rice Markets in Vietnam," Asian Journal of Agriculture and Development, Southeast Asian Regional Center for Graduate Study and Research in Agriculture (SEARCA), vol. 6(1).
    7. Adusei Jumah & Robert M. Kunst, 2008. "Seasonal prediction of European cereal prices: good forecasts using bad models?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 391-406.
    8. Reimers, Hans-Eggert, 1997. "Forecasting of seasonal cointegrated processes," International Journal of Forecasting, Elsevier, vol. 13(3), pages 369-380, September.
    9. Ozlem Tasseven, 2009. "Seasonal Co-integration An Extension of the Johansen and Schaumburg Approach with an Exclusion Test," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 56(1), pages 39-53, March.
    10. David R. Bell & Ronald C. Griffin, 2011. "Urban Water Demand with Periodic Error Correction," Land Economics, University of Wisconsin Press, vol. 87(3), pages 528-544.
    11. Hassler Uwe, 2001. "Wealth and Consumption. A Multicointegrated Model for the Unified Germany / Vermögen und Konsum. Ein multikointegriertes Modell für das vereinigte Deutschland," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 221(1), pages 32-44, February.
    12. Cubadda, Gianluca, 2001. " Complex Reduced Rank Models for Seasonally Cointegrated Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, pages 497-511.

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