We study the probability of rejecting the seasonal unit root tests developed by Hylleberg et al. when they are applied to fractionally integrated seasonal time series. We find that these tests have quite low power and that they lead to a risk of over-differencing. The forecasting performance of...

This paper compares the GDP forecasting performance of alternative factor models based on monthly time series for the French economy. These models are based on static and dynamic principal components obtained using time and frequency domain methods. We question whether it is more appropriate to...