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Discrete Spectral Analysis. The Case of Industrial Production in Selected European Countries

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  • Lukasz Lenart

    (Department of Mathematics, Cracow University of Economics)

Abstract

The aim of this paper is to show the usefulness the discrete spectral analysis in identification cyclical fluctuations. The subsampling procedure was applied to construct the asymptotically consistent test for Fourier coefficient and frequency significance. The case of monthly production in industry in European countries (thirty countries) was considered. Using pro-posed approach the frequencies concerning business fluctuations, seasonal fluctuations and trading-day effects fluctuations were recognized in considered data sets. The comparison with existing procedures was shown.

Suggested Citation

  • Lukasz Lenart, 2015. "Discrete Spectral Analysis. The Case of Industrial Production in Selected European Countries," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 27-47.
    • Handle: RePEc:cpn:umkdem:v:15:y:2015:p:27-47
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    File URL: https://apcz.umk.pl/DEM/article/view/DEM.2015.002/8945
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    discrete spectral analysis; almost periodic function; frequency identification; graphical test;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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