Löf, M.; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2000
We analyze periodic and seasonal cointegration models for bivariate quarterly observed time series in an empirical … considered. For longer forecast horizons, however, the periodic and seasonal cointegration models are better. When comparing … periodic versus seasonal cointegration models, we find that the seasonal cointegration models tend to yield better forecasts …