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

Author

Listed:
  • Laurent Ferrara

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Dominique Guegan

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract
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.

Suggested Citation

  • 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.
    • Handle: RePEc:hal:cesptp:halshs-00185370
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00185370
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    References listed on IDEAS

    as
    1. Ray, Bonnie K., 1993. "Long-range forecasting of IBM product revenues using a seasonal fractionally differenced ARMA model," International Journal of Forecasting, Elsevier, vol. 9(2), pages 255-269, August.
    2. Uwe Hassler, 1994. "(Mis)Specification Of Long Memory In Seasonal Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(1), pages 19-30, January.
    3. Dominique Guegan, 2003. "A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates," Post-Print halshs-00201314, HAL.
    4. Henry L. Gray & Nien‐Fan Zhang & Wayne A. Woodward, 1989. "On Generalized Fractional Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 10(3), pages 233-257, May.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Post-Print halshs-00283710, HAL.
    2. Dominique Guegan, 2007. "Global and local stationary modelling in finance: theory and empirical evidence," Post-Print halshs-00187875, HAL.
    3. Laurent Ferrara & Dominique Guégan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Economics Bulletin, AccessEcon, vol. 3(29), pages 1-10.
    4. repec:ebl:ecbull:v:3:y:2008:i:29:p:1-10 is not listed on IDEAS
    5. Dominique Guegan & Laurent Ferrara, 2008. "Fractional and seasonal filtering," PSE-Ecole d'économie de Paris (Postprint) halshs-00646178, HAL.
    6. Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Post-Print halshs-00277379, HAL.

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