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Fractional and seasonal filtering

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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, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • Laurent Ferrara

    (DGEI-DAMEP - Banque de France)

Abstract

We 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

Suggested Citation

  • Dominique Guegan & Laurent Ferrara, 2008. "Fractional and seasonal filtering," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00646178, HAL.
  • Handle: RePEc:hal:cesptp:halshs-00646178
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00646178
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    References listed on IDEAS

    as
    1. Laurent Ferrara & Dominique Guegan, 2006. "Fractional seasonality: Models and Application to Economic Activity in the Euro Area," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00185370, HAL.
    2. Josu Arteche & Peter M. Robinson, 2000. "Semiparametric Inference in Seasonal and Cyclical Long Memory Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(1), pages 1-25, January.
    3. Guglielmo Maria Caporale & Luis Gil-Alana, 2006. "Long memory at the long-run and the seasonal monthly frequencies in the US money stock," Applied Economics Letters, Taylor & Francis Journals, vol. 13(15), pages 965-968.
    4. Ray, Bonnie K., 1993. "Long-range forecasting of IBM product revenues using a seasonal fractionally differenced ARMA model," International Journal of Forecasting, Elsevier, vol. 9(2), pages 255-269, August.
    5. 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.
    6. Arteche, Josu & Robinson, Peter M., 1998. "Seasonal and cyclical long memory," LSE Research Online Documents on Economics 2241, London School of Economics and Political Science, LSE Library.
    7. Henry L. Gray & Nien‐Fan Zhang & Wayne A. Woodward, 1989. "On Generalized Fractional Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 10(3), pages 233-257, May.
    8. Wayne A. Woodward & Q. C. Cheng & H. L. Gray, 1998. "A k‐Factor GARMA Long‐memory Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(4), pages 485-504, July.
    9. Josu Arteche, 2002. "Semiparametric robust tests on seasonal or cyclical long memory time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(3), pages 251-285, May.
    10. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
    Full references (including those not matched with items on IDEAS)

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