data. In contrast to these studies, we explicitly deal with seasonal e¤ects through the use of periodic integration and …

Netherlands, Italy and Spain. We use periodic integration and cointegration to deal with the seasonality and nonstationarity … mean in all the countries that can be associated with the creation of the euro. Hence we extend the test of periodic … integration proposed by Boswijk and Franses (1996) allowing for a change in the mean. Finally we conclude that we …nd a long …

: Seasonality, Integration, Periodic Integration, Forecast Performance JEL Classification: C22, C53 Acknowledgements The … macroeconomic time series well are the seasonal in- tegration model and the periodic model, possibly with periodic integration … macroeconomic modelling, the finding of periodic integration has an important implication. The relation of a series with periodic …