Fractional and seasonal filtering

Dominique Guegan (1, 2) , Laurent Ferrara (3)

1 CES - Centre d'économie de la Sorbonne
2 PSE - Paris School of Economics
3 DGEI-DAMEP

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

Mots clés: Persistence; Seasonality; Euro-zone new car registrations.; Fractional filter; Euro-zone new car registrations

Domaines: Economies et finances

Dominique Guegan, Laurent Ferrara. Fractional and seasonal filtering. 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. ⟨halshs-00646178⟩