Business surveys modelling with Seasonal-Cyclical Long Memory models
Author
Abstract
Suggested Citation
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00277379
Download full text from publisher
Other versions of this item:
- Laurent Ferrara & Dominique Guégan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Economics Bulletin, AccessEcon, vol. 3(29), pages 1-10.
- Ferrara, L. & Guégan, D., 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Working papers 224, Banque de France.
- Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00283710, HAL.
- Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," PSE-Ecole d'économie de Paris (Postprint) halshs-00283710, HAL.
- Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with seasonal-cyclical long memory models," Documents de travail du Centre d'Economie de la Sorbonne b08035, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
References listed on IDEAS
- Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2008.
"Testing fractional order of long memory processes: a Monte Carlo study,"
Documents de travail du Centre d'Economie de la Sorbonne
b08012, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2010. "Testing Fractional Order of Long Memory Processes: A Monte Carlo Study," Post-Print hal-00486655, HAL.
- Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2010. "Testing Fractional Order of Long Memory Processes: A Monte Carlo Study," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00486655, HAL.
- Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2010. "Testing Fractional Order of Long Memory Processes: A Monte Carlo Study," PSE-Ecole d'économie de Paris (Postprint) hal-00486655, HAL.
- Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2008. "Testing fractional order of long memory processes : a Monte Carlo study," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00259193, HAL.
- 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.
- L. A. Gil‐Alana, 2001.
"Testing Stochastic Cycles in Macroeconomic Time Series,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 22(4), pages 411-430, July.
- Gil-Alaña, Luis A., 2000. "Testing stochastic cycles in macroeconomic time series," SFB 373 Discussion Papers 2000,70, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Luis A. Gil-Alana, 2006. "Testing Seasonality in the Context of Fractionally Integrated Processes," Annals of Economics and Statistics, GENES, issue 81, pages 69-91.
- Arteche, Josu & Robinson, Peter M., 1998. "Seasonal and cyclical long memory," LSE Research Online Documents on Economics 2241, London School of Economics and Political Science, LSE Library.
- Dominique Guegan, 2000. "A New Model: The k-Factor GIGARCH Process," Post-Print halshs-00199207, HAL.
- Josu Arteche & Peter M. Robinson, 2000.
"Semiparametric Inference in Seasonal and Cyclical Long Memory Processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 21(1), pages 1-25, January.
- Arteche, Josu & Robinson, Peter M., 1998. "Semiparametric inference in seasonal and cyclical long memory processes," LSE Research Online Documents on Economics 2203, London School of Economics and Political Science, LSE Library.
- Ferrara, Laurent & Guegan, Dominique, 2001.
"Forecasting with k-Factor Gegenbauer Processes: Theory and Applications,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(8), pages 581-601, December.
- Laurent Ferrara & Dominique Guegan, 2001. "Forecasting with k-factor Gegenbauer Processes: Theory and Applications," Post-Print halshs-00193667, HAL.
- 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.
- Elena Angelini & Gonzalo Camba‐Mendez & Domenico Giannone & Lucrezia Reichlin & Gerhard Rünstler, 2011.
"Short‐term forecasts of euro area GDP growth,"
Econometrics Journal, Royal Economic Society, vol. 14(1), pages 25-44, February.
- Elena Angelini & Gonzalo Camba‐Mendez & Domenico Giannone & Lucrezia Reichlin & Gerhard Rünstler, 2011. "Short‐term forecasts of euro area GDP growth," Econometrics Journal, Royal Economic Society, vol. 14, pages 25-44, February.
- Reichlin, Lucrezia & Camba-Mendez, Gonzalo & Angelini, Elena & Rünstler, Gerhard & Giannone, Domenico, 2008. "Short-term Forecasts of Euro Area GDP Growth," CEPR Discussion Papers 6746, C.E.P.R. Discussion Papers.
- Elena Angelini & Gonzalo Camba-Mendez & Domenico Giannone & Lucrezia Reichlin & Gerhard Rünstler, 2008. "Short-Term Forecasts of Euro Area GDP Growth," Working Papers ECARES ECARES 2008-035, ULB -- Universite Libre de Bruxelles.
- Angelini, Elena & Camba-Méndez, Gonzalo & Rünstler, Gerhard & Giannone, Domenico & Reichlin, Lucrezia, 2008. "Short-term forecasts of euro area GDP growth," Working Paper Series 949, European Central Bank.
- Laurent Ferrara, 2007. "Point and interval nowcasts of the Euro area IPI," Applied Economics Letters, Taylor & Francis Journals, vol. 14(2), pages 115-120.
- 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.
- 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.
- Wilfredo Palma & Ngai Hang Chan, 2005. "Efficient Estimation of Seasonal Long‐Range‐Dependent Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(6), pages 863-892, November.
- Laurent Ferrara & Dominique Guegan, 2000. "Forecasting financial time series with generalized long memory processes," Post-Print halshs-00199126, HAL.
- Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2008. "Testing fractional order of long memory processes : a Monte Carlo study," Post-Print halshs-00259193, HAL.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
- repec:adr:anecst:y:2006:i:81:p:03 is not listed on IDEAS
- 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.
- Sofia C. Olhede, 2004. "Large-sample properties of the periodogram estimator of seasonally persistent processes," Biometrika, Biometrika Trust, vol. 91(3), pages 613-628, September.
- Wayne A. Woodward & Q. C. Cheng & H. L. Gray, 1998. "A k‐Factor GARMA Long‐memory Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(4), pages 485-504, July.
- Franses, Philip Hans & Ooms, Marius, 1997. "A periodic long-memory model for quarterly UK inflation," International Journal of Forecasting, Elsevier, vol. 13(1), pages 117-126, March.
- C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Artiach, Miguel & Arteche, Josu, 2012.
"Doubly fractional models for dynamic heteroscedastic cycles,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
- Artiach Escauriaza, Miguel Manuel & Arteche González, Jesús María, 2011. "Doubly fractional models for dynamic heteroskedastic cycles," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
- Artiach, Miguel, 2012. "Leverage, skewness and amplitude asymmetric cycles," MPRA Paper 41267, University Library of Munich, Germany.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- repec:ebl:ecbull:v:3:y:2008:i:29:p:1-10 is not listed on IDEAS
- Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Post-Print halshs-00277379, HAL.
- Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Post-Print halshs-00283710, HAL.
- Dominique Guegan & Laurent Ferrara, 2008.
"Fractional and seasonal filtering,"
PSE-Ecole d'économie de Paris (Postprint)
halshs-00646178, HAL.
- Dominique Guegan & Laurent Ferrara, 2008. "Fractional and seasonal filtering," Post-Print halshs-00646178, HAL.
- Dominique Guegan & Laurent Ferrara, 2008. "Fractional and seasonal filtering," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00646178, HAL.
- Soares, Lacir Jorge & Souza, Leonardo Rocha, 2006.
"Forecasting electricity demand using generalized long memory,"
International Journal of Forecasting, Elsevier, vol. 22(1), pages 17-28.
- Soares, Lacir Jorge & Souza, Leonardo Rocha, 2003. "Forecasting electricity demand using generalized long memory," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 486, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Rocha Souza, Leonardo & Jorge Soares, Lacir, 2007. "Electricity rationing and public response," Energy Economics, Elsevier, vol. 29(2), pages 296-311, March.
- Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2008.
"Testing fractional order of long memory processes: a Monte Carlo study,"
Documents de travail du Centre d'Economie de la Sorbonne
b08012, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2010. "Testing Fractional Order of Long Memory Processes: A Monte Carlo Study," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00486655, HAL.
- Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2010. "Testing Fractional Order of Long Memory Processes: A Monte Carlo Study," Post-Print hal-00486655, HAL.
- Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2010. "Testing Fractional Order of Long Memory Processes: A Monte Carlo Study," PSE-Ecole d'économie de Paris (Postprint) hal-00486655, HAL.
- Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2008. "Testing fractional order of long memory processes : a Monte Carlo study," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00259193, HAL.
- Souza, Leonardo Rocha & Soares, Lacir Jorge, 2003. "Forecasting electricity load demand: analysis of the 2001 rationing period in Brazil," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 491, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guglielmo Maria Caporale & Juncal Cuñado & Luis A. Gil-Alana, 2013.
"Modelling long-run trends and cycles in financial time series data,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 405-421, May.
- Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2008. "Modelling Long-Run Trends and Cycles in Financial Time Series Data," CESifo Working Paper Series 2330, CESifo.
- Luis A. Gil-Alana & Juncal Cuñado & Guglielmo Maria Caporale, 2012. "Modelling Long Run Trends and Cycles in Financial Time Series Data," Faculty Working Papers 13/12, School of Economics and Business Administration, University of Navarra.
- L.A. Gil-Alana, 2005. "Fractional Cyclical Structures & Business Cycles in the Specification of the US Real Output," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 99-126.
- Proietti, Tommaso & Maddanu, Federico, 2024.
"Modelling cycles in climate series: The fractional sinusoidal waveform process,"
Journal of Econometrics, Elsevier, vol. 239(1).
- Tommaso Proietti & Federico Maddanu, 2021. "Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process," CEIS Research Paper 518, Tor Vergata University, CEIS, revised 19 Oct 2021.
- L.A. Gil-Alanaa, 2007. "Testing The Existence of Multiple Cycles in Financial and Economic Time Series," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 1-20, May.
- Voges, Michelle & Sibbertsen, Philipp, 2021. "Cyclical fractional cointegration," Econometrics and Statistics, Elsevier, vol. 19(C), pages 114-129.
- Laurent Ferrara & Dominique Guegan, 2006. "Fractional seasonality: Models and Application to Economic Activity in the Euro Area," Post-Print halshs-00185370, HAL.
- 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.
- Reisen, Valdério A. & Zamprogno, Bartolomeu & Palma, Wilfredo & Arteche, Josu, 2014. "A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 98(C), pages 1-17.
- Luis A. Gil-Alana & Juan Carlos Cuestas, 2012.
"A Non-linear Approach with Long Range Dependence based on Chebyshev Polynomials,"
Faculty Working Papers
14/12, School of Economics and Business Administration, University of Navarra.
- Juan Carlos Cuestas & Luis A. Gil-Alana, 2013. "A non-linear approach with long range dependence based on Chebyshev polynomials," Working Papers 13-01, Asociación Española de Economía y Finanzas Internacionales.
- Juan Carlos Cuestas & Luis A. Gil-Alana, 2012. "A Non-Linear Approach with Long Range Dependence Based on Chebyshev Polynomials," Working Papers 2012013, The University of Sheffield, Department of Economics.
- Luis Alberiko Gil-Alaña & Juan C. Cuestas, 2012. "A non-linear approach with long range dependence based on Chebyshev polynomials," NCID Working Papers 11/2012, Navarra Center for International Development, University of Navarra.
- Guglielmo Maria Caporale & Luis Gil‐Alana, 2014.
"Long‐Run and Cyclical Dynamics in the US Stock Market,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(2), pages 147-161, March.
- L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Long Run And Cyclical Dynamics In The Us Stock Market," Economics and Finance Discussion Papers 05-09, Economics and Finance Section, School of Social Sciences, Brunel University.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "Long Run and Cyclical Dynamics in the US Stock Market," CESifo Working Paper Series 2046, CESifo.
- Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Economics Series 155, Institute for Advanced Studies.
- Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
- Nicholas Apergis & Andrea Mervar & James E. Payne, 2017. "Forecasting disaggregated tourist arrivals in Croatia," Tourism Economics, , vol. 23(1), pages 78-98, February.
- Beaumont, Paul & Smallwood, Aaron, 2019. "Inference for likelihood-based estimators of generalized long-memory processes," MPRA Paper 96313, University Library of Munich, Germany.
More about this item
Keywords
Euro area; nowcasting; business surveys; seasonal; long memory.; long memory; Enquêtes; saisonnalité; longue mémoire; prévision en temps réel.;All these keywords.
JEL classification:
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:cesptp:halshs-00277379. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.