Working Paper Series no. 224: Business surveys modelling with Seasonal-Cyclical Long Memory models

Abstract

Business surveys are an important element in the analysis of the short-term economic situation because of the timeliness and nature of the information they convey. Especially, surveys are often involved in econometric models in order to provide an early assessment of the current state of the economy, which is of great interest for policy-makers. In this paper, we focus on non-seasonally adjusted business surveys relative to the Euro area released by the European Commission. We introduce an innovative way for modelling those series taking the persistence of the seasonal roots into account through seasonal-cyclical long memory models. We empirically prove that such models produce more accurate forecasts than classical seasonal linear models.

Laurent Ferrara and Dominique Guégan
October 2008

Classification JEL : C22, C53, E32.

Keywords : Euro area, business surveys, seasonal, long memory.