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

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Year of publication:	2008
Authors:	Guegan, Dominique ; Ferrara, Laurent
Institutions:	HAL
Subject:	Persistence \| Seasonality \| Fractional filter \| Euro-zone new car registrations

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00646178 Published, Proceeding Book on the Conference Seasonality, Seasonal adjustment and its implication for short term analysis and forecasting, Eurostat (Ed.), 2008, 121-132
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010635235