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http://dx.doi.org/10.5351/CKSS.2011.18.1.013

Comparison of Forecasting Performance in Multivariate Nonstationary Seasonal Time Series Models  

Seong, Byeong-Chan (Department of Statistics, Chung-Ang University)
Publication Information
Communications for Statistical Applications and Methods / v.18, no.1, 2011 , pp. 13-21 More about this Journal
Abstract
This paper studies the analysis of multivariate nonstationary time series with seasonality. Three types of multivariate time series models are considered: seasonal cointegration model, nonseasonal cointegration model with seasonal dummies, and vector autoregressive model in seasonal differences that are compared for forecasting performances using Korean macro-economic time series data. The cointegration models produce smaller forecast errors in short horizons; however, when longer forecasting periods are considered the vector autoregressive model appears preferable.
Keywords
Seasonal time series; seasonal cointegration; vector autoregression; seasonal dummies;
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