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

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  • 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," Post-Print halshs-00185370, HAL.
    • Handle: RePEc:hal:journl: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

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