This book considers periodic time series models for seasonal data, characterized by parameters that differ across the seasons, and focuses on their usefulness for out-of-sample forecasting. Providing an up-to-date survey of the recent developments in periodic time series, the book presents a large number of empirical results.All methods are illustrated with extensive examples, and the book will be invaluable to advanced graduate students and researchers in econometrics and to practitioners looking for an understanding of how to approach seasonal data.