Forecasting with periodic models:A comparison with time invariant coefficient models.

  1. Novales Cinca, Alfonso
  2. Flores de Frutos, Rafael
Journal:
Documentos de Trabajo (ICAE)

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