Fractional and seasonal filtering
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
|Date of creation:||2008|
|Publication status:||Published in J.L. Mazi. Proceeding Book on the Conference Seasonality, Seasonal adjustment and its implication for short term analysis and forecasting, Eurostat, pp.121-132, 2008|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00646178|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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- Ferrara, Laurent & Guegan, Dominique, 2001.
"Forecasting with k-Factor Gegenbauer Processes: Theory and Applications,"
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- Josu Arteche & Peter M. Robinson, 1998. "Semiparametric inference in seasonal and cyclical long memory processes," LSE Research Online Documents on Economics 2203, London School of Economics and Political Science, LSE Library.
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