Testing for Harmonic Regressors
AbstractThis 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 InfoPaper provided by Nyenrode Business Universiteit in its series Nyenrode Research Papers Series with number NRI09-05.
Date of creation: 2009
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Web page: http://www.library.nyenrode.nl
Other versions of this item:
- Groot, Bert de & Franses, Philip Hans, 2009. "Testing for Harmonic Regressors," Nyenrode Research Papers Series NRI09-06, Nyenrode Business Universiteit.
- Franses, Ph.H.B.F. & de Groot, E.A. & Legerstee, R., 2007. "Testing for harmonic regressors," Econometric Institute Research Papers EI 2007-04, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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- 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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