Business surveys modelling with Seasonal-Cyclical Long Memory models

Laurent Ferrara () and Dominique Guégan ()
Additional contact information
Dominique Guégan: CES, University Paris 1 - Panthéon - Sorbonne

Economics Bulletin, 2008, vol. 3, issue 29, pages 1-10

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: business surveys; seasonality; long memory models; forecasting. (search for similar items in EconPapers)
JEL-codes: C2 C5 (search for similar items in EconPapers)
Date: 2008-05-22
View list of references

Downloads: (external link)
http://economicsbulletin.vanderbilt.edu/2008/volume3/EB-08C20041A.pdf (application/pdf)

Related works:
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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Access Statistics for this article

More articles in Economics Bulletin from Economics Bulletin
Address: Economics Bulletin, Department of Economics, 414 Calhoun Hall, Vanderbilt University, Nashville TN 37235, USA
Series data maintained by John Conley ().