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
Abstract : 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
Keywords : Euro-zone new car registrations. Fractional filter Euro-zone new car registrations Persistence Seasonality
Type de document :
Chapitre d'ouvrage
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https://halshs.archives-ouvertes.fr/halshs-00646178
Contributeur : Dominique Guégan <>
Soumis le : mardi 29 novembre 2011 - 13:27:47
Dernière modification le : jeudi 4 octobre 2018 - 18:28:03
Document(s) archivé(s) le : dimanche 4 décembre 2016 - 18:09:44

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ferrara-guegan_procbook.pdf
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  • HAL Id : halshs-00646178, version 1

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UNIV-PARIS1 | CNRS | CES | PSE

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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⟩

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