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Testing Changing Harmonic Regressors

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Author Info
Franses, Ph.H.B.F. (Erasmus Econometric Institute)
Abstract

Econometric models for economic time series may include harmonic regressors to describe cyclical patterns in the data. This paper focuses on the possibility that the cycle periods in these regressors change over time. To this end, a smooth regime-switching harmonic regression is proposed, and a diagnostic test for changing cycle periods is proposed. An application to annual GDP growth in the Netherlands (for 1969-2007) shows that around 1975 the business cycle period shifted from about 3 years to about 11 years.

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File URL: http://hdl.handle.net/1765/16216
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Publisher Info
Paper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number EI 2009-13 Revision_Date: 2009-11-06.

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Date of creation: 13 Jul 2009
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Handle: RePEc:dgr:eureir:1765016216

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Related research
Keywords: harmonic regressors; smooth regime-switching model;

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This page was last updated on 2009-12-16.

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