Business surveys modelling with Seasonal-Cyclical Long Memory models

Laurent Ferrara () and Dominique madeleine GUEGAN

Documents de Travail from Banque de France

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 relative to the Euro area 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; business surveys; seasonal; long memory. (search for similar items in EconPapers)
JEL-codes: C22 C53 E32 (search for similar items in EconPapers)
Date: 2008
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http://www.banque-france.fr/gb/publications/telechar/ner/ner224.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)
Journal Article: Business surveys modelling with Seasonal-Cyclical Long Memory models (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:bfr:banfra:224

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