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

Abstract

Papier présenté à la Conférence organisée par Eurostat sur " Seasonality, Seasonal Adjustment and their Implications for Short-Term Analysis and Forecasting "International audienceIn 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