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Fractional and seasonal filtering

  • Dominique Guegan


    (CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics)

  • Laurent Ferrara

    (DGEI-DAMEP - Banque de France)

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

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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00646178.

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Date of creation: 2008
Date of revision:
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
Handle: RePEc:hal:cesptp:halshs-00646178
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  1. repec:cep:stiecm:/1998/359 is not listed on IDEAS
  2. Laurent Ferrara & Dominique Guegan, 2001. "Forecasting with k-factor Gegenbauer Processes: Theory and Applications," Post-Print halshs-00193667, HAL.
  3. 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.
  4. 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.
  5. Josu Arteche & Peter M. Robinson, 1998. "Seasonal and cyclical long memory," LSE Research Online Documents on Economics 2241, London School of Economics and Political Science, LSE Library.
  6. 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.
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