Forecasting performance of seasonal cointegration models
Forecasts from seasonal cointegration models are compared with those from a standard cointegration model based on first differences and seasonal dummies. The effects of restricting or not restricting seasonal intercepts in the seasonal cointegration models are examined as well as the recently proposed specification and estimation procedure for the annual frequency by Johansen and Schaumburg (1999). The data generating process used in the Monte Carlo simulation is based on an empirical six-dimensional macroeconomic data set. Results show that the seasonal cointegration model improves forecasting accuracy, compared with the standard cointegration model, even in small samples and if short forecast horizons are considered. Furthermore, the specification suggested by Johansen and Schaumburg seems to work better than the original model presented by Lee (1992). An empirical forecasting example confirm most of the results found in the Monte Carlo study.
|Date of creation:||12 Oct 1999|
|Date of revision:|
|Publication status:||Forthcoming in International Journal of Forecasting.|
|Contact details of provider:|| Postal: |
Phone: +46-(0)8-736 90 00
Fax: +46-(0)8-31 01 57
Web page: http://www.hhs.se/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Johansen, Soren & Schaumburg, Ernst, 1998.
"Likelihood analysis of seasonal cointegration,"
Journal of Econometrics,
Elsevier, vol. 88(2), pages 301-339, November.
- Franses, Philip Hans & Kunst, Robert M, 1999.
" On the Role of Seasonal Intercepts in Seasonal Cointegration,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 61(3), pages 409-33, August.
- Franses, Philip Hans & Kunst, Robert M., 1995. "On the role of seasonal intercepts in seasonal cointegration," Economics Series 15, Institute for Advanced Studies.
- Franses, Ph.H.B.F. & Kunst, R.M., 1998. "On the role of seasonal intercepts in seasonal cointegration," Econometric Institute Research Papers EI 9820, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988.
"Seasonal Integration And Cointegration,"
0-88-2, Pennsylvania State - Department of Economics.
- Reimers, Hans-Eggert, 1997. "Forecasting of seasonal cointegrated processes," International Journal of Forecasting, Elsevier, vol. 13(3), pages 369-380, September.
- Wells, John M., 1997. "Business Cycles, Seasonal Cycles, and Common Trends," Journal of Macroeconomics, Elsevier, vol. 19(3), pages 443-469, July.
- Lee, Hahn Shik, 1992. "Maximum likelihood inference on cointegration and seasonal cointegration," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 1-47.
- Kunst, Robert & Neusser, Klaus, 1990. "Cointegration in a Macroeconomic System," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(4), pages 351-65, Oct.-Dec..
- Lee, Hahn S. & Siklos, Pierre L., 1995. "A note on the critical values for the maximum likelihood (seasonal) cointegration tests," Economics Letters, Elsevier, vol. 49(2), pages 137-145, August.
- Kunst, Robert M, 1993. "Seasonal Cointegration in Macroeconomic Systems: Case Studies for Small and Large European Countries," The Review of Economics and Statistics, MIT Press, vol. 75(2), pages 325-30, May.
- Kunst, Robert M, 1993. "Seasonal Cointegration, Common Seasonals, and Forecasting Seasonal Series," Empirical Economics, Springer, vol. 18(4), pages 761-76.
When requesting a correction, please mention this item's handle: RePEc:hhs:hastef:0336. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Helena Lundin)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.