Novales Cinca, AlfonsoFlores de Frutos, Rafael2023-06-212023-06-211996-09Boswijk H.P. and P.H. Franses (1995), "Periodic Cointegration: Representation and lnference", Review of Economics and Statistics, 77, 436-454. Boswijk H.P. and P.H. Franses (1996), Unit Roots in Periodic Autoregressions', Journal of Time Series Analysis, forthcoming. Box, G.E.P. and G.M. Jenkins (1976), Time Series Analysis: Forecasting and Control, San Francisco, Holden Day. Flores, R. and A. Novales (1996), "A General Test for Univariate Seasonality", Journal of Time Series Analysis, forthcoming. Franses, P.H. (1994), "A Multivariate Approach to Modelling Univariate Seasonal Time Series" Journal of Econometrics, 63, 133-151. Franses, P.H. and G. Romijn (1993), "Periodic Integration in Quarterly UK macroeconomic Variables", International Journal of Forecasting, 9, 467-476. Franses, P.H. and R. Paap (1994), "Model Selection in Periodic Autoregressions" Oxford Bulletin of Economics and Statistics, 56, 4, 421-439. Johansen, S. and K. Juselius (1990), "Maximum Likelihood Estimation and Inference on Cointegration with Applications to the Demand for Money" Oxford Bulletin of Economics and Statistics, 52, 169-210. Lütkepohl, H. (1993), Introduction to Multiple Time Series Analysis, Springer Verlag, Berlin. Osborn, D.R. (1990), "A Survey of Seasonality in UK Macroeconomic Variables", International Journal of Forecasting, 6, 327-336. Osborn, D.R., A.P.L. Chui, J.P. Smith and C.R. Birchenhall (1988), 'Seasonality and the Order of Integration for Consumption', Oxford Bulletin of Economics and Statistics, 50, 361-377. Osborn, D.R. and J.P. Smith (1989), "The Performance of Periodic Autoregressive Models in Forecasting Seasonal UK Consumption", Journal of Business and Economics Statistics, 7, 117-127. Tiao, G.C. and M.R. Grupe (1980), "Hidden Periodic Autoregressive-Moving Average Models in Time Series Data", Biometrika, 67, 2, 365-373. Sims, C.A. (1980), "Macroeconomics and Reality" Econometrica, 48, 1-49.https://hdl.handle.net/20.500.14352/64245Utilizando 17 variables trimestrales macroeconómicas del Reino Unido, caracterizadas por Franses y Romijn (1993) como periódicamente integradas, hemos encontrado que modelos períodicos no restringidos no prevén mejor que modelos univariantes. En ausencia de otro tipo de restricciones, cuando sólo se tienen en cuenta explicitamente las relaciones de cointegración entre trimestres, tampoco se mejoran la previsiones de los modelos univariantes. Sin embargo, cuando los modelos periodicos se restringen adecuadamente, su capacidad predictiva mejora notablemente y el resultado negativo anterior se invierte. Las restricciones de homogeneidad en el comportamiento de los trimestres parecen ser cruciales en este sentido.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 modelsengtechnical reporthttps://www.ucm.es/icaeopen accessC32C52EstacionalidadModelos periódicosModelos univariantes.SeasonalityPeriodic modelsUnit root polynomials.Econometría (Economía)5302 Econometría