IDEAS home Printed from https://ideas.repec.org/p/ems/eureir/16216.html
   My bibliography  Save this paper

Testing Changing Harmonic Regressors

Author

Listed:
  • Franses, Ph.H.B.F.

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.

Suggested Citation

  • 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.
  • Handle: RePEc:ems:eureir:16216
    as

    Download full text from publisher

    File URL: https://repub.eur.nl/pub/16216/EI2009-13.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Philip Hans Franses & Bert de Groot & Rianne Legerstee, 2009. "Testing for harmonic regressors," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(3), pages 339-346.
    2. Lundbergh, Stefan & Terasvirta, Timo & van Dijk, Dick, 2003. "Time-Varying Smooth Transition Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 104-121, January.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    harmonic regressors; smooth regime-switching model;

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ems:eureir:16216. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (RePub). General contact details of provider: http://edirc.repec.org/data/feeurnl.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.