Business surveys modelling with seasonal-cyclical long memory models

Laurent Ferrara and Dominique Guegan ()
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Dominique Guegan: Centre d'Economie de la Sorbonne et Paris School of Economics, https://cv.archives-ouvertes.fr/dominique-guegan

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: Business surveys are an important element in the analysis of the short-term economic situation because of the timeliness and nature of the information they convey. Especially, surveys are often involved in econometric models in order to provide an early assessment of the current state of the economy, which is of great interest for policy-makers. In this paper, we focus on non-seasonally adjusted business surveys released by the European Commission. We introduce an innovative way for modelling those series taking the persistence of the seasonal roots into account through seasonal-cyclical long memory models. We empirically prove that such models produce more accurate forecasts than classical seasonal linear models

Keywords: Euro area; nowcasting; business surveys; seasonal; long memory (search for similar items in EconPapers)
JEL-codes: C22 C53 E32 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2008-05
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-for and nep-mac
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Citations: View citations in EconPapers (2)

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ftp://mse.univ-paris1.fr/pub/mse/CES2008/B08035.pdf (application/pdf)

Related works:
Journal Article: Business surveys modelling with Seasonal-Cyclical Long Memory models (2008)
Working Paper: Business surveys modelling with Seasonal-Cyclical Long Memory models (2008)
Working Paper: Business surveys modelling with Seasonal-Cyclical Long Memory models (2008)
Working Paper: Business surveys modelling with Seasonal-Cyclical Long Memory models (2008)
Working Paper: Business surveys modelling with Seasonal-Cyclical Long Memory models (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:b08035

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