Seasonal cointegration, common seasonals, and forecasting seasonal series

Author:

Kunst Robert M.

Publisher

Springer Science and Business Media LLC

Subject

Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability

Reference27 articles.

1. Bell WR (1987) A note on overdifferencing and the equivalence of seasonal time series models with monthly means and models with (0, 1, 1)12 seasonal parts when ?=1. Journal of Business and Economic Statistics 5:383?387

2. Research Memorandum;P Brandner,1990

3. Chatterjee S, Ravikumar B (1992) A neoclassical model of seasonal fluctuations. Journal of Econometrics 29:59?86

4. Engle RF, Granger CWJ (1987) Co-integration and error correction: representation, estimation and testing. Econometrica 55:251?276

5. Engle RF, Granger CWJ, Hallman JJ (1989) Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting. Journal of Econometrics 40:45?62

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