Fractional and seasonal filtering
AbstractWe introduce in this study a new strategy to model simultaneously persistence and seasonality inside economic data using different stochastic filters based on the Gegenbauer modelling. The limits and advantages of these filters are discussed in order to improve the adjustment of economic series, particularly when specific trend is observed. The series of new cars registrations in the Euro-zone is modelled using the previous filters
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Bibliographic InfoPaper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00646178.
Date of creation: 2008
Date of revision:
Publication status: Published, Proceeding Book on the Conference Seasonality, Seasonal adjustment and its implication for short term analysis and forecasting, Eurostat (Ed.), 2008, 121-132
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Persistence - Seasonality - Fractional filter - Euro-zone new car registrations.;
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- Laurent Ferrara & Dominique Guegan, 2006. "Fractional seasonality: Models and Application to Economic Activity in the Euro Area," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00185370, HAL.
- Guglielmo Maria Caporale & Luis Gil-Alana, 2006.
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Taylor & Francis Journals, vol. 13(15), pages 965-968.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Long Memory At The Long-Run And The Seasonal Monthly Frequencies In The Us Money Stock," Economics and Finance Discussion Papers 05-16, Economics and Finance Section, School of Social Sciences, Brunel University.
- Josu Artech & Peter M Robinson, 1998. "Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in Journal of Time Series Analysis, 21 (2000), pp.1-25.)," STICERD - Econometrics Paper Series /1998/359, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Ferrara, Laurent & Guegan, Dominique, 2001. "Forecasting with k-Factor Gegenbauer Processes: Theory and Applications," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(8), pages 581-601, December.
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