We propose a seasonal cointegration model [SECM] for quarterly data which includes variables with different numbers of unit roots and thus needs to be transformed in different ways in order to yield stationarity. A Monte Carlo simulation is carried out to investigate the consequences of...

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...

We propose a seasonal cointegration model [SECM] for quarterly data which includes variables with different numbers of unit roots and thus needs to be transformed in different ways in order to yield stationarity. A Monte Carlo simulation is carried out to investigate the consequences of...

This paper investigates the small sample size and power properties of the likelihood ratio test in the seasonal error correction model. Two specifications of the model at the annual frequency are analyzed. One is more restricted (RS), designed for the particular case of 'synchronous...

We analyze periodic and seasonal cointegration models for bivariate quarterly observed time series in an empirical forecasting study. We include both single equation and multiple equation methods. A VAR model in first differences with and without cointegration restrictions is also included in...