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The detection of hidden periodicities: A comparison of alternative methods

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Author Info
Michael ARTIS
Mathias HOFFMANN
Dilip NACHANE
Juan TORO

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Abstract

"Fixed frequency effect models" represent a powerful tool for analyzing time series exhibiting strong periodicities. However, in spite of their appeal to the practitioner, their use has been constrained by ignorance about their statistical properties. This paper attempts to oer a comparison among alternative methods via extensive simulation studies. The methods are compared across several performance characteristics most notably bias, variance power and RMSE (root mean square error). By way of illustration, two empirical examples are also included.

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File URL: http://www.iue.it/PUB/ECO2004-10.pdf
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Publisher Info
Paper provided by European University Institute in its series Economics Working Papers with number ECO2004/10.

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Date of creation: 2004
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Handle: RePEc:eui:euiwps:eco2004/10

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Related research
Keywords: Fixed frequency effect models; mixed spectrum; maximum periodogram ordinates; amplied harmonics; simulations; power comparisons;

Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques

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This page was last updated on 2009-12-8.

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