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Testing for Harmonic Regressors

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Author Info

  • Franses, Philip Hans
  • Groot, Bert de
  • Legerstee, Rianne

    (Nyenrode Business Universiteit)

Abstract

This paper reports on the Wald test for a1=a2=0 in the regression model (t t y = + cos(2 t ) + sin( 2 t ) + u 1 2 ? p a ? p µ a) where ? is estimated using nonlinear least squares (NLS). As this situation is not standard we provide critical values for further use. An illustration to quarterly GDP in the Netherlands is given. A power study shows that choosing inappropriate starting values for ? leads to a quick loss of power. Key words: Harmonic Regressors, Critical Values.

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Bibliographic Info

Paper provided by Nyenrode Business Universiteit in its series Nyenrode Research Papers Series with number NRI09-05.

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Date of creation: 2009
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Handle: RePEc:dgr:nijrep:2009-05

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Web page: http://www.library.nyenrode.nl

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Cited by:
  1. Franses, Ph.H.B.F., 2009. "Testing Changing Harmonic Regressors," Econometric Institute Research Papers EI 2009-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

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