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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