Fractional seasonality: Models and Application to Economic Activity in the Euro Area
Résumé
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.
Origine | Fichiers produits par l'(les) auteur(s) |
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