Forecasting with periodic models:A comparison with time invariant coefficient models.
ISSN: 2341-2356
Year of publication: 1996
Issue: 13
Pages: 1-15
Type: Working paper
More publications in: Documentos de Trabajo (ICAE)
Abstract
Working with seventeen UK macroeconomic variables, characterized as periodically integrated in Franses and Romijn(1993), we have found that unconstrained periodic models do not beat time invariant alternatives in forecasting, even when cointegrating relationships among the seasons are taken into account. However, when appropriately constrained, the forecasting performance of periodic models can be much better than that of non periodic models