Fractional seasonality: Models and Application to Economic Activity in the Euro Area

In this paper, we recall some concepts on seasonal long memory, we review the diverse fractionally integrated seasonal time series models and we discuss their statistical properties. Then, we compare the empirical performances of those models on euro area economic data and we show that generalized long memory models offer competitive alternatives to classical SARIMA models, avoiding over-differentiation and providing a better goodness of fit.

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Year of publication:	2006
Authors:	Ferrara, Laurent ; Guegan, Dominique
Institutions:	HAL
Subject:	Fractional seasonality \| long-range dependence \| generalized long memory models \| economic activity

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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-00185370 Published - Presented, Conference on Seasonality, Seasonal Adjustment and their Implications for Short-Term Analysis and Forecasting, 2006, Luxembourg
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010750835