Business surveys modelling with seasonal-cyclical long memory models
AbstractBusiness 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 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.
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Bibliographic InfoPaper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number b08035.
Length: 11 pages
Date of creation: May 2008
Date of revision:
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More information through EDIRC
Euro area; nowcasting; business surveys; seasonal; long memory.;
Other versions of this item:
- Laurent Ferrara & Dominique Guégan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Economics Bulletin, AccessEcon, vol. 3(29), pages 1-10.
- Ferrara, L. & Guégan, D., 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Working papers 224, Banque de France.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-05-17 (All new papers)
- NEP-ECM-2008-05-17 (Econometrics)
- NEP-ETS-2008-05-17 (Econometric Time Series)
- NEP-FOR-2008-05-17 (Forecasting)
- NEP-MAC-2008-05-17 (Macroeconomics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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