Fractional seasonality: Models and Application to Economic Activity in the Euro Area

Laurent Ferrara and Dominique Guegan ()
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Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: In this paper, we recall some concepts on seasonal long memory, we review the diverse fractionally integrated seasonal time series models and we discuss their statistical properties. Then, we compare the empirical performances of those models on euro area economic data and we show that generalized long memory models offer competitive alternatives to classical SARIMA models, avoiding over-differentiation and providing a better goodness of fit.

Keywords: Fractional seasonality; long-range dependence; economic activity; generalized long memory models; economic activity. (search for similar items in EconPapers)
Date: 2006-05-10
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00185370
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Citations: View citations in EconPapers (9)

Published in Conference on Seasonality, Seasonal Adjustment and their Implications for Short-Term Analysis and Forecasting, May 2006, Luxembourg. pp.137 - 153

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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00185370

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